The RATS Software Forum

Hi Tom, Many thanks for the prompt response. In 2011 paper, in addition to putting forward a measure which is invariant to the order of variables, the authors have also decomposed the total contribution into a few directional measures to capture the contribution 'to and from' a particular market i (...

Hi Tom, Thank you very much for making this replication files available. I have managed to compute and graph both standard (Diebold and Yilmaz, 2009) and generalised (Diebold and Yilmaz, 2011) spillover indices. However, I am having a difficulty in getting the values and figures for both gross and n...

Dear all, I am currently working on a bivariate Dynamic Conditional Correlation (DCC) model, and i wanted to add an exogenous variable to this model so that it enters the conditional variance equations as well as in the GARCH process for the conditional correlation. I wondered if anyone on this disc...