Econometric Code

Use R!

Non R Books

  • Brooks, C. (2014). Introductory Econometrics for Finance. Cambridge University Press. [Book][RCode]
  • Enders, W. (2008). Applied Econometric Time Series. John Wiley & Sons. [Book][RCode]
  • Greene, W. H. (2011). Econometric Analysis. Pearson Education. [Book][RCode]
  • Koop, G. (2003). Bayesian Econometrics. John Wiley and Sons. [Book][RCode]
  • Koop, G. and Korobilis, D. (2010). Bayesian Multivariate Time Series Methods for Empirical Macroeconomics. Foundations and Trends in Econometrics, 3, pp. 267-358. [Book][RCode]
  • Stock, J. H., & Watson, M. W. (2012). Introduction to Econometrics: Global Edition. Pearson Education. [Book][RCode]
  • Verbeek, M. (2017). A Guide to Modern Econometrics. John Wiley & Sons. [Book][RCode]
  • Wooldridge, J. M. (2018). Introductory Econometrics: A Modern Approach. Cengage Learning. [Book][RCode]

Selected R Books

  • Tsay, R. S. (2014). An Introduction to Analysis of Financial Data with R. John Wiley & Sons. [Materials]
  • Tsay, R. S. (2013). Multivariate Time Series Analysis: With R and Financial Applications. John Wiley & Sons. [Materials]
  • Pfaff, B. (2016). Financial Risk Modelling and Portfolio Optimization with R. John Wiley & Sons. [Materials]

Econometric Online Platform

Dynamic Connectedness Index based on VAR, QVAR and TVP-VAR

This website is created to offer everyone who is interested in spillover effects the opportunity to start their own investigations. We strongly believe that this approach is a milestone in econometrics since it demonstrates how shocks spread within a predetermined network which facilitate visualising how the transmission mechanism of different crises worked through various economic channels. As highlighted in Diebold and Yılmaz (2014) this procedure can be used as early warning system for numerous economic entities. Unfortunately, only few statistical softwares include a package regarding this methodology which motivated us to provide a general framework without any barriers for those without programming skills or which stick to a specific software to apply the dynamic connectedness approach . We would be glad if you honour our effort by citing one of our studies in your research if you are using our online implementation.

How does the online dynamic connectedness approach work?

1) Select the characteristics of your desired model

2) Upload a *.csv-file whereby the first column should include the date (the provided .csv-files in the replication paper section give further insights in the required structure of the dataset)

3) Download the Connectedness.xlsx-file

The .xlsx-file includes the net, to, from, and net pairwise directional connectedness measures. The online-implementation provides a graphical illustration of the aforementioned measures (except for the net pairwise directional connectedness) and various tables (summary statistics, static and dynamic connectedness tables).

Replication Papers:

  • Diebold, F. X., & Yılmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171. [Dataset][Working Paper][RCode]
  • Diebold, F. X., & Yılmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66. [Dataset][Working Paper][RCode]
  • Antonakakis, N. (2012). Exchange return co-movements and volatility spillovers before and after the introduction of euro. Journal of International Financial Markets, Institutions and Money, 22(5), 1091-1109. [PreEuro][PostEuro][Working Paper]
  • Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., & Perez de Garcia, F. (2018). Oil volatility, oil and gas firms and portfolio diversification. Energy Economics . [Dataset][Working Paper]
  • Antonakakis, N., & Gabauer, D. (2017). Refined Measures of Dynamic Connectedness based on TVP-VAR. [Dataset][Working Paper]

Hedging Effectiveness Using DCC-GARCH t-Copulas

Replication Papers:

  • Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., & Perez de Garcia, F. (2018). Dynamic Connectedness and Optimal Hedging Strategies among Oil and Other Asset Classes.
    • [Dataset][Working Paper]