Baruník and Křehlík (2018)

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mijatovic
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Joined: Wed Mar 06, 2019 1:39 am

Baruník and Křehlík (2018)

Unread post 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/16/2/271/4868603.

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.
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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

Re: Baruník and Křehlík (2018)

Unread post 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.
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