joergrieger/bayesianConnectedness: Calculates spillover measures as in Diebold-Yilmaz (2009)
Computes spillover measures as Described in Diebold-Yilmaz (2009) for various VAR-models such as a classical VAR or TVP-VAR with stochastic volatility. Furthermore the package also contains functions to plot spillover tables or time series.
Getting started
Browse package contents
Package details |
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| Author | Joerg Rieger |
| Maintainer | Joerg Rieger <joerg.rieger.jr@gmail.com> |
| License | GPL-3 |
| Version | 0.1.0 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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