Spillover-package |
Spillover |
dy2009 |
Diebold and Yilmaz (2009) dataset |
dy2012 |
Diebold and Yilmaz (2012) dataset |
dynamic.spillover |
dynamnic_spillover is a function for estimating DY directional spillovers. |
g.fevd |
Generalized Forecast Error Variance Decomposition |
G.spillover |
Generalized spillover index |
net |
Net spillovers |
O.spillover |
Orthogonalized spillover index |
plotdy |
Plot directional spillover index |
rol.returns |
Two-days Rolling Average Returns |
rol.vol |
Two-days Rolling Average Intra-day Volatilities |
roll.net |
Dynamic Spillover Index |
roll.spillover |
Dynamic Spillover Index |
Spillover |
Spillover |
stock.prices |
Daily Stock Prices |
total.dynamic.spillover |
Dynamic Spillover Index |