Realized_corr: Computing Realized Correlation

In Marga8/HDGCvar: Granger Causality Testing in High Dimensional Vector Autoregressive Models

Computing Realized Correlation

Description

This function computes realized correlations from realized variances and covariances with the possibility of Fisher-transforming the realized correlations.

Usage

Realized_corr(realized_variances, realized_covariances, fisher_transf = T)

Arguments

realized_variances	Dataset of realized volatilities. A matrix or something that can be coerced to a matrix. Note: the volatilities must not be in logs.
realized_covariances	Dataset of realized covariances. A matrix or something that can be coerced to a matrix.
fisher_transf	Logical: if TRUE the correlations are computed and Fisher-transformed

Value

LM test statistics and p-values: asymptotic, with finite sample correction and asymptotic with heteroscedasticity correction and Lasso selections are printed to the console

References

Hecq, A., Margaritella, L., Smeekes, S., "Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure." arXiv preprint arXiv:1902.10991 (2019).

Examples

## Not run: Realized_corr(real_var, real_cov, fisher_transf=T)

Marga8/HDGCvar documentation built on May 25, 2024, 11:12 a.m.