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frequencyConnectedness (version 0.2.4)

Spectral Decomposition of Connectedness Measures

Description

Accompanies a paper (Barunik, Krehlik (2018) ) 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

0.2.4

License

GPL-2

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Repository

https://github.com/tomaskrehlik/frequencyConnectedness

Maintainer

Tomas Krehlik

Last Published

February 24th, 2023

Functions in frequencyConnectedness (0.2.4)

Compute a forecast error vector decomposition in generalised VAR scheme.

overall.list_of_spills

Function to compute overall spillovers

overall.spillover_table

Function to compute overall spillovers

Method for computing overall spillovers

Get a list of indeces corresponding to parts of frequency partition

Method for ploting PAIRWISE spillovers

plotPairwise.list_of_spills

Function to plot pairwise spillovers

Method for computing NET spillovers

pairwise.spillover_table

Function to compute pairwise spillovers

pairwise.list_of_spills

Function to compute pairwise spillovers

plotOverall.list_of_spills

Function to plot overall spillovers

Method for ploting overall spillovers

plotNet.list_of_spills

Function to plot net spillovers

Method for ploting NET spillovers

Method for computing PAIRWISE spillovers

Method for ploting FROM spillovers

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

net.list_of_spills

Function to compute net spillovers

Get the indeces for the individual intervals

plotSpecific.list_of_spills

Function to plot specific spilover from i to j

Method for ploting specific pair spillover

plotFrom.list_of_spills

Function to plot from spillovers

print.list_of_spills

Function to not print the list_of_spills object

Computing the decomposed spillover from a generalized fevd as defined by Barunik, Krehlik (2018)

net.spillover_table

Function to compute net spillovers

plotTo.list_of_spills

Function to plot to spillovers

Method for ploting TO spillovers

Computing spillover from a fevd

print.spillover_table

Function to print the spillover table object

Computing the decomposed spillover from a fevd as defined by Barunik, Krehlik (2018)

spilloverRollingDY12

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

spilloverRollingBK12

Computing rolling frequency spillover from a generalized fevd as defined by Barunik, Krehlik (2018)

spilloverRollingDY09

Computing rolling spillover according to Diebold Yilmaz (2009)

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

Computing the decomposed spillover from a fevd

to.list_of_spills

Function to compute to spillovers

to.spillover_table

Function to compute to spillovers

Volatilities from Ox Man Institute

spilloverRolling

Computing rolling spillover

spilloverRollingBK09

Computing rolling frequency spillover from a fevd as defined by Barunik, Krehlik (2018)

Method for computing TO spillovers

from.spillover_table

Function to compute from spillovers

collapseBounds.list_of_spills

Function to collapse bounds

Compute a forecast error vector decomposition in recursive identification scheme

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

The simulated time-series

Method for for collapsing bound for frequency spillovers

collapseBounds.spillover_table

Function to collapse bounds

from.list_of_spills

Function to compute from spillovers

Method for computing FROM spillovers

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