pairwise.list_of_spills

Taking in list_of_spillovers, the function computes the pairwise spillovers
for all the individual spillover_table.

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.list_of_spills function

<dl><dt>spillover_table</dt>
<dd>a list_of_spills object, ideally from rolling window estimation</dd>
<dt>within</dt>
<dd>whether to compute the within spillovers if the spillover
tables are frequency based.</dd>
<dt>...</dt>
<dd>for the sake of CRAN not to complain</dd></dl>

Arguments

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

Author

Function to compute pairwise spillovers — pairwise.list_of_spills

<dl>

<dt>spillover_table</dt>
<dd>a list_of_spills object, ideally from rolling window estimation</dd>


<dt>within</dt>
<dd>whether to compute the within spillovers if the spillover
tables are frequency based.</dd>


<dt>...</dt>
<dd>for the sake of CRAN not to complain</dd>

</dl>

pairwise.list_of_spills: Function to compute pairwise spillovers

Description

Usage

Value

Arguments

Author