Dear All, I was wondering whether someone has worked on the implementation of the Diebold and Yilmaz (2009) in gretl (script or addin). EViews has an add-in called dyindex: https://forums.eviews.com/viewtopic.php?t=19121
Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171. regards Theo -- Theodore Panagiotidis Department of Economics University of Macedonia Thessaloniki, Greece ResearchGate <https://www.researchgate.net/profile/Theodore_Panagiotidis> Econpapers <https://econpapers.repec.org/RAS/ppa1363.htm> Twitter @TPanagiotidis <https://twitter.com/tpanagiotidis>
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