Replication code to estimate Network connectedness measures from BVHAR models in "Fat Tails, Serial Dependence and Implied Volatility Connections"
This code comes without any technical support. It should be used by those familiar with MATLAB
On line 90 in BVAR_MASTER change "model" to any integer in 1,2,3,4,5,6,7 to get results for each of the 7 BVAR models.
You need to run this for model \in {1,2,3,4,5,6,7}