dy2012 {ConnectednessApproach}

Dataset of Diebold and Yilmaz (2012)

Description

For detailed information see: Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of forecasting, 28(1), 57-66.

Usage

data(dy2012)

Format

A zoo data.frame containing 30x1141 observations.

Source

Yahoo Finance