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:

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
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