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SpillOver_DY
- 计算Diebold and Yilmaz(2014)溢出指数 Diebold F X, Yilmaz K. Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 2012, 28(1): 57-66.(Diebold and Yilmaz(2014) spillover index Dieb
W=500 H=5
- 计算静态和动态的DY溢出指数(包括收益率和波动率)(static and dynamic spillover index)
DY溢出指数(R)
- 这是DY溢出指数的R代码,是BK2018频率域溢出指数。可以计算单向溢出、净溢出,脉冲相应。