TimeConnectedness {ConnectednessApproach}

Diebold and Yilmaz (2009, 2012) connectedness approach

Description

This function allows to calculate the Diebold and Yilmaz (2009, 2012) connectedness measures.

Usage

TimeConnectedness(
  Phi = NULL,
  Sigma = NULL,
  nfore = 10,
  generalized = TRUE,
  corrected = FALSE,
  FEVD = NULL
)

Arguments

Phi

VAR coefficient matrix

Sigma

Residual variance-covariance matrix

nfore

H-step ahead forecast horizon

generalized

Orthorgonalized/generalized FEVD

corrected

Boolean value whether corrected or standard TCI should be computed

FEVD

Alternatively, to provide Phi and Sigma it is also possible to use FEVD directly.

Value

Get connectedness measures

Author(s)

David Gabauer

References

Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171.

Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66.

Examples

#Replication of DY2012
data("dy2012")
fit = VAR(dy2012, configuration=list(nlag=4))
dca = TimeConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=10, generalized=TRUE)
dca$TABLE