RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: RATS
Requires: RATS 8.00
Keywords: VAR; spillover measures (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/dieboldyilmaz_ej2009.zip (application/zip)

Related works:
Journal Article: Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00044

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