spilloverDY12

This function is an internal implementation of the spillover.
The spillover is in general defined as the contribution of the other variables
to the fevd of the self variable. This function computes the spillover as the 
contribution of the diagonal elements of the fevd to the total sum of the matrix.
The other functions are just wrappers around this function. In general, other spillovers
could be implemented using this function.

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

spilloverDY12 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></dl>

Arguments

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

Author

Computing spillover from a generalized fevd according to Diebold Yilmaz (2012) — spilloverDY12

<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>

</dl>

spilloverDY12: Computing spillover from a generalized fevd according to Diebold Yilmaz (2012)

Description

Usage

Value

Arguments

Author