DIEBOLDYILMAZ_IJF2012: RATS program to replicate Diebold and Yilmaz(2012) spillover calculations

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Diebold and Yilmaz(2012), "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, vol. 28, no 1, 57-66.

Language: RATS
Requires: RATS 10.00
Keywords: VAR; Spillover (search for similar items in EconPapers)
Date: 2025-12-29
Note: RPF and SRC files are plain text. See https://estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://estima.com/procedures/dieboldyilmaz_ijf2012.zip (application/zip)

Related works:
Journal Article: Better to give than to receive: Predictive directional measurement of volatility spillovers (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00199

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