grigory1113/tvp-corr-experimens: initial version
Abstract
v1.0.0 – Initial release accompanying the paper This release contains the complete code to reproduce all experiments and figures from the paper: Bayesian Algorithm for Dynamic Correlation Estimation in Economic Time Series Nikita Moiseev¹, Grigory Aivazian¹, Alexey Mikhaylov², Nora Baranyai³,* ¹Plekhanov Russian University of Economics, Moscow, Russia ²Financial University under the Government of the Russian Federation, Moscow, Russia ³University of Pannonia, Veszprém, Hungary
Fields of Study & Subjects
Financial Risk and Volatility Modeling
Complex Systems and Time Series Analysis
Time Series Analysis and Forecasting
Publication details
- Journal / source
- Zenodo (CERN European Organization for Nuclear Research)
- Publication date
- 6 March 2026
- Language
- EN