dy2009: Diebold and Yilmaz (2009) dataset
In Spillover: Spillover/Connectedness Index Based on VAR Modelling
dy2009 R Documentation
Diebold and Yilmaz (2009) dataset
Description
A dataset consisting of 829 weekly observations of Global Stock Market Returns, 10/1/1992 – 23/11/2007.
Find details in Diebold and Yilmaz (2009)
Format
a data.frame-class dataset
References
Diebold, F. X. & Yilmaz, K. (2009). Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets. The Economic Journal, 119, 158–171
Examples
data(dy2009)
head(dy2009)
summary(dy2009) # Same as Diebold and Yilmaz (2012) summary statistics
Spillover documentation built on June 22, 2024, 12:25 p.m.
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| dy2009 | R Documentation |
Diebold and Yilmaz (2009) dataset
Description
A dataset consisting of 829 weekly observations of Global Stock Market Returns, 10/1/1992 – 23/11/2007. Find details in Diebold and Yilmaz (2009)
Format
a data.frame-class dataset
References
Diebold, F. X. & Yilmaz, K. (2009). Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets. The Economic Journal, 119, 158–171
Examples
data(dy2009)
head(dy2009)
summary(dy2009) # Same as Diebold and Yilmaz (2012) summary statistics
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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