Diebold and Yilmaz (2009, 2012,2014) Spillover Index

Version 1.0.1.2 (133 KB) by BINH PHAM
Functions for computing Diebold and Yilmaz (2009, 2012) Index. !!! Note that !!! This package must be used with Econometrics Tbx.
2.0
(1)
533 Downloads
Updated 18 Mar 2020
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This library provides functions for computing Diebold and Yilmaz (2009, 2012) or DY Spillover Index and other components of the connectedness table. Moreover, it has some useful functions. Please check the Example_DYIndex.m to learn how to use.

!!! Note that !!! This package must be used with Econometrics Toolbox.

Cite As

BINH PHAM (2024). Diebold and Yilmaz (2009, 2012,2014) Spillover Index (https://github.com/binhpham79/DYIndex), GitHub. Retrieved .

MATLAB Release Compatibility
Created with R2019b
Compatible with R2017a to R2019b
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.0.1.2

Connect with Github
1.0.1.1

Correct example file.
1.0.1

Correct example file.
1.0.0

To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.