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RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations

  • Tom Doan

    ()

    (Estima)

Registered author(s):

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.

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File URL: http://www.estima.com/procs_perl/dieboldyilmaz_ej2009.zip
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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00044.

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Programming language: RATS
Requires: RATS 8.00
Date of creation:
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Handle: RePEc:boc:bocode:rtz00044
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
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