spilloverRollingBK12: Computing rolling frequency spillover from a generalized fevd...

In tomaskrehlik/frequencyConnectedness: Spectral Decomposition of Connectedness Measures

Computing rolling frequency spillover from a generalized fevd as defined by Barunik, Krehlik (2018)

Description

This function computes the rolling spillover using the standard VAR estimate. We implement the parallel version for faster processing. The window is of fixed window and is rolled over the data. Interpretation of the other parameters is the same as in the standard computation of spillover.

Usage

spilloverRollingBK12(
  data,
  n.ahead = 100,
  no.corr,
  partition,
  func_est,
  params_est,
  window,
  cluster = NULL
)

Arguments

data	variable containing the dataset
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
func_est	a name of the function to estimate with, for example "var" for VAR from vars package
params_est	a list of the parameters to pass to the function besides the data that are passed as a first element.
window	length of the window to be rolled
cluster	either NULL for no parallel processing or the variable containing the cluster.

Author(s)

Tomas Krehlik <[e-mail]>

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