Implementation of total and directional spillover metrics (see e.g. Diebold and Yilmaz (2012)). This small package is built around VARResultsWrapper and statsmodels.tsa.vector_ar.VAR.
See examples for usage.
Installation using setup.py, for e.g.:
cd spillpy && pip install .
@article{diebold2012better,
title={Better to give than to receive: Predictive directional measurement of volatility spillovers},
author={Diebold, Francis X and Yilmaz, Kamil},
journal={International Journal of forecasting},
volume={28},
number={1},
pages={57--66},
year={2012},
publisher={Elsevier}
}