dy2012 {Spillover}

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