tests/test.r

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

library(FRAPO) # replace this package with own dataset
data("ESCBFX") # FX - data

tmp <- VAR(ESCBFX,p=6)

# Test the classical VAR

# whole series
test1 <- cv_connectedness(mydata = ESCBFX,rolling_window = 0, nolags = 6, nhor = 12)

# with rolling window
test2 <- cv_connectedness(mydata = ESCBFX,rolling_window = 100, nolags = 6, nhor = 12)