pairwise

Method for computing PAIRWISE spillovers

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

pairwise function

<dl><dt>spillover_table</dt>
<dd>the output of spillover estimation function 
or rolling spillover estimation function</dd>
<dt>...</dt>
<dd>other arguments like whether it is within or absolute spillover
in case of the frequency spillovers</dd></dl>

Arguments

Tomas Krehlik &lt;tomas.krehlik@gmail.com&gt;

Author

Method for computing PAIRWISE spillovers — pairwise

<dl>

<dt>spillover_table</dt>
<dd>the output of spillover estimation function 
or rolling spillover estimation function</dd>


<dt>...</dt>
<dd>other arguments like whether it is within or absolute spillover
in case of the frequency spillovers</dd>

</dl>

pairwise: Method for computing PAIRWISE spillovers

Description

Usage

Value

Arguments

Author