absolute_pairwise

<p>takes in a list containing (G)FEVD decomposed at frequencies at time t</p>

listAtT

<p>Computation of absolute pairwise spillovers at time T</p>

Accompanies a paper (Barunik, Krehlik (2017) <doi:10.2139/ssrn.2627599>) 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 (<https://github.com/tomaskrehlik/frequencyConnectedness>) for relevant information.

Tomas Krehlik

absolute_pairwise: Computation of absolute pairwise spillovers at time T

Description

Usage

Arguments

Value