Baruník and Křehlík (2018)

If you are seeking RATS code for implementing a particular technique or replicating results from a paper, post your request here. Be sure to include complete citations for any papers or books.

Baruník and Křehlík (2018)

Unread postby mijatovic » Mon Dec 07, 2020 1:27 am

Baruník and Křehlík (2018)

I'm looking for the RATS code to implement Baruník and Křehlík (2018) , "Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk," Journal of Financial Econometrics, Volume 16, Issue 2, 2018.

The paper is available at ... 71/4868603.

The paper follows Diebold and Yilmaz (2009, 2012) spillover index and introduce a framework based on the spectral representation of variance decomposition to estimate connectedness in short-, medium-, and long-term financial cycle.

Thank you.
Posts: 1
Joined: Wed Mar 06, 2019 2:39 am

Re: Baruník and Křehlík (2018)

Unread postby TomDoan » Mon Dec 07, 2020 1:44 pm

Their supplementary materials do not (unfortunately) seem to include the data. If you can get them to provide that, we would certainly look into it.
Posts: 7306
Joined: Wed Nov 01, 2006 5:36 pm

Return to Looking for Code?

Who is online

Users browsing this forum: No registered users and 2 guests