spilloverBK12

This function is an internal implementation of the frequency spillover.
We apply the identification scheme suggested by fevd to the frequency
decomposition of the transfer functions from the estimate est.

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

spilloverBK12 function

<dl><dt>est</dt>
<dd>the estimate of a system, typically VAR estimate in our case</dd>
<dt>n.ahead</dt>
<dd>how many periods ahead should the FEVD be computed, generally this number
should be high enough so that it won't change with additional period</dd>
<dt>no.corr</dt>
<dd>boolean parameter whether the off-diagonal in the covariance matrix should be
set to zero</dd>
<dt>partition</dt>
<dd>defines the frequency partitions to which the spillover should be decomposed</dd></dl>

Arguments

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

Author

Computing the decomposed spillover from a generalized fevd as defined by Barunik, Krehlik (2018) — spilloverBK12

<dl>

<dt>est</dt>
<dd>the estimate of a system, typically VAR estimate in our case</dd>


<dt>n.ahead</dt>
<dd>how many periods ahead should the FEVD be computed, generally this number
should be high enough so that it won't change with additional period</dd>


<dt>no.corr</dt>
<dd>boolean parameter whether the off-diagonal in the covariance matrix should be
set to zero</dd>


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

</dl>

spilloverBK12: Computing the decomposed spillover from a generalized fevd as defined by Barunik, Krehlik (2018)

Description

Usage

Value

Arguments

Author