spilloverDY09: Computing spillover from a fevd according to Diebold Yilmaz...

In frequencyConnectedness: Spectral Decomposition of Connectedness Measures

Computing spillover from a fevd according to Diebold Yilmaz (2009)

Description

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.

Usage

spilloverDY09(est, n.ahead = 100, no.corr)

Arguments

est	the estimate of a system, typically VAR estimate in our case
n.ahead	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
no.corr	boolean parameter whether the off-diagonal in the covariance matrix should be set to zero

Value

spillover_table object

Author(s)

Tomas Krehlik <[e-mail]>

frequencyConnectedness documentation built on March 7, 2023, 6:39 p.m.