barunik/sam2N barunik/sam2N

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    MATLAB
  • Created over 5 years ago
  • Updated almost 3 years ago
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barunik/sam2N
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Repository Details

Code to compute Spillover Asymmetry Measure (SAM 2N) in Baruník, J., Kočenda, E. and Vácha, L., 2017. Asymmetric volatility connectedness on the forex market. Journal of International Money and Finance, 77, pp.39-56.

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