@********************************************************************************************* Dungey and Renault contagion test: Dungey and Renault (2010) THIS CODE: September 2010 COPYRIGHT: Mardi Dungey and Eric Renault FURTHER INFORMATION: Further information can be obtained from the authors, Mardi Dungey and Eric Renault. (mardi.dungey(at)utas.edu.au and renault(at)email.unc.edu). THIS JUST MANIPULATES ALL MY DATA SETS TO GO INTO THE GENERAL CONTAGION TESTING CODE ********************************************************************************************@ @---- set save and load paths for data input and output -----@ spath="c:\\MyDocuments\\Mywork\\Renault\\output\\"; loadm path="c:\\MyDocuments\\Mywork\\Renault\\output\\"; @----------------------------------------------------------------------------------------------- DATASET 1: EQUITIES and CURRENCIES DATA -----------------------------------------------------------------------------------------------@ @- KEY VARIABLES in order: equities 1. Indonesia 2. Korea 3. Malaysia 4. Thailand 5. US 6. Australia erates against USD 7. Korea 8. Indonesia 9. Thailand 10. Malaysia 11. Australia -@ @----- load data ----@ load dataorig[956,11]=c:/MyDocuments/MYWORK/Renault2012/Renault/datasets/Dungey_Martin2007.txt; data=dataorig; data = dataorig; T1 = 651; @ - 2 July -@ T2 = rows(data)-651; T = T1 + T2; let mask[1,5]= 0 1 1 1 1; @-- make sure data are expressed as returns --@ ret=100*(trimr(ln(data),1,0)-trimr(ln(data),0,1)); T1 = T1-1; T=T-1;