A user-friendly tool for estimating both total and directional connectedness spillovers based on Diebold and Yilmaz (2009, 2012). It also provides the user with rolling estimation for total and net indices. User can find both orthogonalized and generalized versions for each kind of measures. See Diebold and Yilmaz (2009, 2012) find them at <doi:10.1111/j.1468-0297.2008.02208.x> and <doi:10.1016/j.ijforecast.2011.02.006>.

Jilber Urbina

Spillover

Spillover/Connectedness Index Based on VAR Modelling

net function

<dl><dt>x</dt>
<dd>Object of class <code>spillover.table</code> generated by either <code>O.spillover()</code> or <code>G.spillover()</code>.</dd></dl>

Arguments

Author

Net spillovers — net

<dl>

<dt>x</dt>
<dd>Object of class <code>spillover.table</code> generated by either <code>O.spillover()</code> or <code>G.spillover()</code>.</dd>

</dl>

net: Net spillovers

Description

Usage

Value

Arguments

Author

References

See Also