cv_connectedness: connectedness measure for classical VAR

In joergrieger/bayesianConnectedness: Calculates spillover measures as in Diebold-Yilmaz (2009)

Description

connectedness measure for classical VAR

Usage

cv_connectedness(mydata, rolling_window = 0, nolags = 6, nhor = 12)

Arguments

mydata	data
rolling_window	size of the rolling window to estimate the VAR. If the rollingwindow is 0, the whole dataset is estimated at once.
nolags	number of lags in the VAR model
nhor	horizon for the forecast erro variance decomposition

Value

an S3-object of the class spillover_table or spillover_series

joergrieger/bayesianConnectedness documentation built on July 31, 2019, 9:36 a.m.