FEVDec: FEVDec
In lucabarbaglia/t-VAR: Penalized Vector AutoRegressions with t-innovations
Description
Usage
Arguments
Value
Author(s)
References
Description
Obtain Forecast Error variance Decomposition
with Spectral, Cholesky or Generealized decomposition
Usage
1
Arguments
B_arr
arrays of autoregressive coeff
Sig
var-cov matrix
lag
forecast horizon
dec.type
"Cholesky", "Spectral", "Generalized", "GeneralizedIRF" or "Generalized_Lanne". Default "Generalized".
Value
fevd: forecast error variance decompositoin matrix
Author(s)
Luca Barbaglia https://lucabarbaglia.github.io/
References
Barbaglia, L., Croux, C., & Wilms, I. (2020). Volatility spillovers in commodity markets: A large t-vector autoregressive approach. Energy Economics, 85, 104555.
lucabarbaglia/t-VAR documentation built on Feb. 27, 2021, 3:46 a.m.
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Description Usage Arguments Value Author(s) References
Description
Obtain Forecast Error variance Decomposition with Spectral, Cholesky or Generealized decomposition
Usage
1 |
Arguments
B_arr |
arrays of autoregressive coeff |
Sig |
var-cov matrix |
lag |
forecast horizon |
dec.type |
"Cholesky", "Spectral", "Generalized", "GeneralizedIRF" or "Generalized_Lanne". Default "Generalized". |
Value
fevd: forecast error variance decompositoin matrix
Author(s)
Luca Barbaglia https://lucabarbaglia.github.io/
References
Barbaglia, L., Croux, C., & Wilms, I. (2020). Volatility spillovers in commodity markets: A large t-vector autoregressive approach. Energy Economics, 85, 104555.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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