Spillover | R Documentation |
Spillover index based on both, orthogonalized and generalized forecast error variance decomposition of a VAR(p) for n step ahead forecast. It computes both orthogonalized and generalized directional spillover indices proposed by Diebold and Yilmaz (2009, 2012)
Jilber Urbina
Diebold, F. X. & Yilmaz, K. (2009). Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets. The Economic Journal, 119, 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, 57–66.
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Lutkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.
Pesaran, M. H. and Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1):17-29.
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