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frequencyConnectedness (version 0.1.6)

Spectral Decomposition of Connectedness Measures

Description

Accompanies a paper (Barunik, Krehlik (2017) ) dedicated to spectral decomposition of connectedness measures and their interpretation. We implement all the developed estimators as well as the historical counterparts. For more information, see the help or GitHub page () for relevant information.

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Install

install.packages('frequencyConnectedness')

Monthly Downloads

864

Version

0.1.6

License

GPL-2

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Repository

https://github.com/tomaskrehlik/frequencyConnectedness

Maintainer

Tomas Krehlik

Last Published

June 9th, 2017

Functions in frequencyConnectedness (0.1.6)

The simulated time-series

Compute a forecast error vector decomposition in recursive identification scheme

get_absolute_pairwise

Computation of absolute pairwise spillovers at time T

get_absolute_to

Computation of absolute to spillovers at time T

Collapsing bounds into less elements

createSpilloverTable

Create a latex spillover table like in Barunik, Krehlik (2015)

Computation of a given type of spillover

get_within_from

Computation of within from spillovers at time T

Computation of absolute to spillovers at time T

Collapsing all bounds

Compute from others spillovers from the estimates

Compute a forecast error vector decomposition in generalised VAR scheme.

Function for convenient plotting

Computation of absolute from spillovers at time T

absolute_pairwise

Computation of absolute pairwise spillovers at time T

Get the indeces for the individual intervals

Function that plots various types of spillovers

Computing spillover from a fevd

spilloverRollingBK09

Computing rolling frequency spillover from a fevd as defined by Barunik, Krehlik (2015)

spilloverRollingBK12

Computing rolling frequency spillover from a generalized fevd as defined by Barunik, Krehlik (2015)

Get a list of indeces corresponding to parts of frequency partition

Computing the decomposed spillover from a fevd

spilloverRolling

Computing rolling spillover

Compute a FFT transform of forecast error vector decomposition in recursive identification scheme

Compute a FFT transform of forecast error vector decomposition in generalised VAR scheme.

get_absolute_from

Computation of absolute from spillovers at time T

get_absolute_net

Computation of absolute net spillovers at time T

Computation of within to spillovers at time T

Making structured object

spilloverRollingFft

Computing rolling frequency spillover

Computing the decomposed spillover from a fevd as defined by Barunik, Krehlik (2015)

Computing the decomposed spillover from a generalized fevd as defined by Barunik, Krehlik (2015)

spilloverRollingDY09

Computing rolling spillover according to Diebold Yilmaz (2009)

spilloverRollingDY12

Computing rolling spillover from the generalized fevd according to Diebold Yilmaz (2012)

Compute to others spillovers from the estimates

Computation of within net spillovers at time T

get_within_pairwise

Computation of within pairwise spillovers at time T

Function for convenient plotting

Computing spillover from a fevd according to Diebold Yilmaz (2009)

Computing spillover from a generalized fevd according to Diebold Yilmaz (2012)

Computation of within to spillovers at time T

Computation of within from spillovers at time T

within_pairwise

Computation of within pairwise spillovers at time T