JointConnectedness {ConnectednessApproach}

Lastrapes and Wiesen (2021) joint connectedness approach

Description

This function calculates the Lastrapes and Wiesen (2021) joint connectedness measures.

Usage

JointConnectedness(Phi, Sigma, nfore)

Arguments

Phi

VAR coefficient matrix

Sigma

Residual variance-covariance matrix

nfore

H-step ahead forecast horizon

Value

Get connectedness measures

Author(s)

David Gabauer

References

Lastrapes, W. D., & Wiesen, T. F. (2021). The joint spillover index. Economic Modelling, 94, 681-691.

Examples

data("lw2021")
fit = VAR(lw2021, configuration=list(nlag=2))
dca = JointConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=30)
dca$TABLE