FrequencyConnectedness {ConnectednessApproach} | R Documentation |
Baruník and Křehlík (2018) frequency connectedness approach
Description
This function calculates the Baruník and Křehlík (2018) frequency connectedness measures.
Usage
FrequencyConnectedness(
Phi,
Sigma,
nfore = 100,
partition = c(pi, pi/2, 0),
generalized = TRUE,
orth = FALSE,
scenario = "ABS",
corrected = FALSE
)
Arguments
Phi |
VAR coefficient matrix |
Sigma |
Residual variance-covariance matrix |
nfore |
H-step ahead forecast horizon |
partition |
Frequency spectrum |
generalized |
Orthorgonalized/generalized FEVD |
orth |
Orthorgonalized shocks |
scenario |
ABS or WTH |
corrected |
Boolean value whether corrected or standard TCI should be computed |
Value
Get connectedness measures
Author(s)
David Gabauer
References
Baruník, J., & Křehlík, T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics, 16(2), 271-296.
Examples
data("dy2012")
partition = c(pi+0.00001, pi/4, 0)
fit = VAR(dy2012, configuration=list(nlag=4))
dca = FrequencyConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=100, partition=partition)
[Package ConnectednessApproach version 1.0.3 Index]