barunik/sam2N

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.

语言：MATLAB · GitHub 星标：8 · Fork：8

在 GitHub 上查看原仓库