/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.

Primary LanguageMATLAB

Spillover Asymmetry Measure (SAM2N)

Code to compute Spillover Asymmetry Measure (SAM) introduced in

Baruník, J., Kočenda, E. and Vácha, L., (2017) [Asymmetric volatility connectedness on the forex market](https://ideas.repec.org/p/arx/papers/1607.08214.html. Journal of International Money and Finance, 77, pp.39-56.