spillover: calculate the spillover relationship between two time series
In zlfccnu/econophysics: Functions for econophysics
Description
Usage
Arguments
Value
Description
calculate the spillover relationship between two time series
Usage
1
Arguments
r1
a time series
r2
a time series
VaR1
the VaR of r1, calculate by the caviarOptim function
VaR2
the VaR of r2
M
the lag parameter use to calculate the spillover
BETA
the significant threshold for the causality test
weighted
logic value, default TRUE, return the spillover value or not
Value
a vector with two element, 1 or 0 if weighted=FALSE, otherwise return the spillover value
zlfccnu/econophysics documentation built on Feb. 23, 2022, 10:22 p.m.
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.
Description Usage Arguments Value
Description
calculate the spillover relationship between two time series
Usage
1 |
Arguments
r1 |
a time series |
r2 |
a time series |
VaR1 |
the VaR of r1, calculate by the caviarOptim function |
VaR2 |
the VaR of r2 |
M |
the lag parameter use to calculate the spillover |
BETA |
the significant threshold for the causality test |
weighted |
logic value, default TRUE, return the spillover value or not |
Value
a vector with two element, 1 or 0 if weighted=FALSE, otherwise return the spillover value
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.