RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations
Replication files for Diebold and Yilmaz(2009), "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, vol. 119, no. 534, 158-171. This includes examples for the author's later "generalized spillover" measures.
|Date of creation:|
|Date of revision:|
|Note:||RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
This item is featured on the following reading lists or Wikipedia pages:
When requesting a correction, please mention this item's handle: RePEc:boc:bocode:rtz00044. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.