| Spillover {Spillover} | R Documentation |
Spillover
Description
Spillover index based on both, orthogonalized and generalized forecast error variance decomposition of a VAR(p) for n step ahead forecast. It computes both orthogonalized and generalized directional spillover indices proposed by Diebold and Yilmaz (2009, 2012)
Author(s)
Jilber Urbina
References
Diebold, F. X. & Yilmaz, K. (2009). Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets. The Economic Journal, 119, 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, 57–66.
Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.
Lutkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.
Pesaran, M. H. and Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1):17-29.