fftFEVD

This function computes the decomposition of standard forecast error vector decomposition given the 
estimate of the VAR. The decomposition is done according to the Stiassny (1996)

Accompanies a paper (Barunik, Krehlik (2018) <doi:10.1093/jjfinec/nby001>) 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

frequencyConnectedness

Spectral Decomposition of Connectedness Measures

fftFEVD function

<dl><dt>est</dt>
<dd>the VAR estimate from the vars package</dd>
<dt>n.ahead</dt>
<dd>how many periods ahead should be taken into account</dd>
<dt>no.corr</dt>
<dd>boolean if the off-diagonal elements should be set to 0.</dd>
<dt>range</dt>
<dd>defines the frequency partitions to which the spillover should be decomposed</dd></dl>

Arguments

Tomas Krehlik <a href="/link/tomas.krehlik%40gmail.com?package=frequencyConnectedness&version=0.2.4" data-mini-rdoc="frequencyConnectedness::tomas.krehlik@gmail.com">tomas.krehlik@gmail.com</a>

Author

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

<dl>

<dt>est</dt>
<dd>the VAR estimate from the vars package</dd>


<dt>n.ahead</dt>
<dd>how many periods ahead should be taken into account</dd>


<dt>no.corr</dt>
<dd>boolean if the off-diagonal elements should be set to 0.</dd>


<dt>range</dt>
<dd>defines the frequency partitions to which the spillover should be decomposed</dd>

</dl>

Tomas Krehlik <a href='mailto:tomas.krehlik@gmail.com'>tomas.krehlik@gmail.com</a>

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

Description

Usage

Value

Arguments

Author