spilloverBK09: Computing the decomposed spillover from a fevd as defined by...

In tomaskrehlik/frequencyConnectedness: Spectral Decomposition of Connectedness Measures

Computing the decomposed spillover from a fevd as defined by Barunik, Krehlik (2018)

Description

This function is an internal implementation of the frequency spillover. We apply the identification scheme suggested by fevd to the frequency decomposition of the transfer functions from the estimate est.

Usage

spilloverBK09(est, n.ahead = 100, no.corr, partition)

Arguments

est	the estimate of a system, typically VAR estimate in our case
n.ahead	how many periods ahead should the FEVD be computed, generally this number should be high enough so that it won't change with additional period
no.corr	boolean parameter whether the off-diagonal in the covariance matrix should be set to zero
partition	defines the frequency partitions to which the spillover should be decomposed

Value

spillover_table object

Author(s)

Tomas Krehlik <[e-mail]>

tomaskrehlik/frequencyConnectedness documentation built on Feb. 28, 2023, 8:46 a.m.