ConnectednessApproach (version 1.0.4)

FrequencyConnectedness: Baruník and Křehlík (2018) frequency connectedness approach

Description

This function calculates the Baruník and Křehlík (2018) frequency connectedness measures.

Usage

FrequencyConnectedness(
  Phi,
  Sigma,
  nfore = 100,
  partition = c(pi, pi/2, 0),
  generalized = TRUE,
  orth = FALSE,
  scenario = "ABS",
  corrected = FALSE
)

Value

Get connectedness measures

Arguments

Phi

VAR coefficient matrix

Sigma

Residual variance-covariance matrix

nfore

H-step ahead forecast horizon

partition

Frequency spectrum

generalized

Orthorgonalized/generalized FEVD

orth

Orthorgonalized shocks

scenario

ABS or WTH

corrected

Boolean value whether corrected or standard TCI should be computed

Author

David Gabauer

References

Baruník, J., & Křehlík, T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics, 16(2), 271-296.

Examples

# \donttest{
data("dy2012")
partition = c(pi+0.00001, pi/4, 0)
fit = VAR(dy2012, configuration=list(nlag=4))
dca = FrequencyConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=100, partition=partition)
# }