dy2012: Diebold and Yilmaz (2012) dataset
In Spillover: Spillover/Connectedness Index Based on VAR Modelling
dy2012 R Documentation
Diebold and Yilmaz (2012) dataset
Description
A dataset consisting of 2771 log volatility daily observations of 4 variables:
Stocks (SP500), Bonds (R_10Y), Commodities (DJUBSCOM) and FX (USDX).
The period for this dataset is from Jan 25, 1999 to Jan 29, 2010.
Format
a data.frame-class dataset
References
Diebold, F. X. & Yilmaz, K.(2012). Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers. International Journal of Forecasting. 28, 57–66.
Examples
data(dy2012)
head(dy2012)
summary(dy2012) # Same as Diebold and Yilmaz (2012) summary statistics
Spillover documentation built on June 22, 2024, 12:25 p.m.
R Package Documentation
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| dy2012 | R Documentation |
Diebold and Yilmaz (2012) dataset
Description
A dataset consisting of 2771 log volatility daily observations of 4 variables: Stocks (SP500), Bonds (R_10Y), Commodities (DJUBSCOM) and FX (USDX). The period for this dataset is from Jan 25, 1999 to Jan 29, 2010.
Format
a data.frame-class dataset
References
Diebold, F. X. & Yilmaz, K.(2012). Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers. International Journal of Forecasting. 28, 57–66.
Examples
data(dy2012)
head(dy2012)
summary(dy2012) # 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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