barunik/sam

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.

语言：MATLAB · GitHub 星标：14 · Fork：8

在 GitHub 上查看原仓库