Stefan Kloessner and Sven Wagner, "Exploring All VAR Orderings for 
Calculating Spillovers? Yes, We Can! A Note on Diebold and Yilmaz 
(2009)", Journal of Applied Econometrics, Vol. 29, No. 1, 2014,
pp. 172-179.

The file WeeklyVolatilities.csv contains the data which were obtained
from

http://ideas.repec.org/c/boc/bocode/rtz00044.html

and

http://www.estima.com/procs_perl/dieboldyilmaz_ej2009.zip. 

WeeklyVolatilities.csv was generated by opening the Excel sheets
contained in the zip file and then saving the data in csv format.

The data consists of time series data of estimated weekly volatilities
of 19 countries' leading stock market indexes. It is organized in
columns: the first column enumerates the data, the second column gives
the dates, and columns 3 through 21 contain the actual data.

The file SOM.r contains R code that can be used to replicate the
calculations done in the paper. Notice that the last command has been
turned into a comment, as executing it may take a rather long time and
slow down your computer considerably.

Both files are zipped in the file kw-files.zip. Since they are ASCII
files in DOS format, Unix/Linux users should use "unzip -a".

Stefan Kloessner
S.Kloessner@mx.uni-saarland.de