This dataset include the data and code for the paper of "Regime-dependent volatility spillover asymmetry in Shanghai and Hong Kong stock markets with forecasting and portfolio inferences", Primary ana
The data sets are estimation results of GARCH-BEKK model. And through the Wald Test results, we can measure the volatility spillover relationship between any stocks.
The aim of this study is to investigate sources of food prices volatility. The analysis uses daily series for volatility of corn, soybean, wheat, rice, US dollar, crude oil, and SP500 futures spanning
