JointConnectedness: Lastrapes and Wiesen (2021) joint connectedness approach
In ConnectednessApproach: Connectedness Approach
View source: R/JointConnectedness.R
JointConnectedness R Documentation
Lastrapes and Wiesen (2021) joint connectedness approach
Description
This function calculates the Lastrapes and Wiesen (2021) joint connectedness measures.
Usage
JointConnectedness(Phi, Sigma, nfore)
Arguments
Phi
VAR coefficient matrix
Sigma
Residual variance-covariance matrix
nfore
H-step ahead forecast horizon
Value
Get connectedness measures
Author(s)
David Gabauer
References
Lastrapes, W. D., & Wiesen, T. F. (2021). The joint spillover index. Economic Modelling, 94, 681-691.
Examples
data("lw2021")
fit = VAR(lw2021, configuration=list(nlag=2))
dca = JointConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=30)
dca$TABLE
ConnectednessApproach documentation built on June 22, 2024, 10:22 a.m.
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View source: R/JointConnectedness.R
| JointConnectedness | R Documentation |
Lastrapes and Wiesen (2021) joint connectedness approach
Description
This function calculates the Lastrapes and Wiesen (2021) joint connectedness measures.
Usage
JointConnectedness(Phi, Sigma, nfore)
Arguments
Phi |
VAR coefficient matrix |
Sigma |
Residual variance-covariance matrix |
nfore |
H-step ahead forecast horizon |
Value
Get connectedness measures
Author(s)
David Gabauer
References
Lastrapes, W. D., & Wiesen, T. F. (2021). The joint spillover index. Economic Modelling, 94, 681-691.
Examples
data("lw2021")
fit = VAR(lw2021, configuration=list(nlag=2))
dca = JointConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=30)
dca$TABLE
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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