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View Code? Open in Web Editor NEWCode 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.
Home Page: https://ideas.repec.org/p/arx/papers/1607.08214.html