hlniu Goto Github PK
Name: Niu Hongli
Type: User
Company: 北京科技大学
Bio: University Teacher
Location: 北京
Name: Niu Hongli
Type: User
Company: 北京科技大学
Bio: University Teacher
Location: 北京
program course for haidian fellowship
Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on the US stock market: Bad and good volatility spillovers. Journal of Financial Markets, 27, pp.55-78.
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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