TimeConnectedness: Diebold and Yilmaz (2009, 2012) connectedness approach

In ConnectednessApproach: Connectedness Approach

Diebold and Yilmaz (2009, 2012) connectedness approach

Description

This function allows to calculate the Diebold and Yilmaz (2009, 2012) connectedness measures.

Usage

TimeConnectedness(
  Phi = NULL,
  Sigma = NULL,
  nfore = 10,
  generalized = TRUE,
  corrected = FALSE,
  FEVD = NULL
)

Arguments

Phi	VAR coefficient matrix
Sigma	Residual variance-covariance matrix
nfore	H-step ahead forecast horizon
generalized	Orthorgonalized/generalized FEVD
corrected	Boolean value whether corrected or standard TCI should be computed
FEVD	Alternatively, to provide Phi and Sigma it is also possible to use FEVD directly.

Value

Get connectedness measures

Author(s)

David Gabauer

References

Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171.

Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66.

Examples

#Replication of DY2012
data("dy2012")
fit = VAR(dy2012, configuration=list(nlag=4))
dca = TimeConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=10, generalized=TRUE)
dca$TABLE

ConnectednessApproach documentation built on June 22, 2024, 10:22 a.m.