dy2009 {Spillover}

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