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Baruník and Křehlík (2018)

Unread postPosted: Mon Dec 07, 2020 1:27 am
by mijatovic
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 athttps://academic.oup.com/jfec/article ... 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.

Re: Baruník and Křehlík (2018)

Unread postPosted: Mon Dec 07, 2020 1:44 pm
by TomDoan
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.