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Description: Diebold and Yilmaz(2014) spillover index
Diebold F X, Yilmaz K. Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 2012, 28(1): 57-66.
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File list (Check if you may need any files):
| Filename | Size | Date |
|---|
| diebold_yilmaz.mat | 240925 | 2015-11-02
|
| Run_DY.m | 755 | 2016-05-12
|
| SpillOver_DY.m | 7443 | 2016-02-01 |
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