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dynamic-conditional-correlation

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chirindaopensource / how_trade_policy_uncertainty_alters_stock_tbill_relationships

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End-to-End Python implementation of Lacava's (2026) "Shifting Correlations" research. Features Numba-compiled GJR-GARCH volatility filtering, augmented DCC-X framework with exogenous Trade Policy Uncertainty integration, structural break testing, out-of-sample GMV optimization, and Model Confidence Set validation.

python jupyter-notebook econometrics portfolio-optimization quantitative-finance numba asset-pricing risk-management time-series-analysis financial-econometrics model-confidence-set volatility-modeling garch-models multivariate-garch dynamic-conditional-correlation structural-breaks trade-policy-uncertainty correlation-modeling covariance-forecasting safe-haven-assets
  • Updated Mar 29, 2026
  • Jupyter Notebook

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