collapseBounds |
Method for for collapsing bound for frequency spillovers |
collapseBounds.list_of_spills |
Function to collapse bounds |
collapseBounds.spillover_table |
Function to collapse bounds |
exampleSim |
The simulated time-series |
fevd |
Compute a forecast error vector decomposition in recursive identification scheme |
fftFEVD |
Compute a FFT transform of forecast error vector decomposition in recursive identification scheme |
fftGenFEVD |
Compute a FFT transform of forecast error vector decomposition in generalised VAR scheme. |
from |
Method for computing FROM spillovers |
from.list_of_spills |
Function to compute from spillovers |
from.spillover_table |
Function to compute from spillovers |
genFEVD |
Compute a forecast error vector decomposition in generalised VAR scheme. |
getIndeces |
Get the indeces for the individual intervals |
getPartition |
Get a list of indeces corresponding to parts of frequency partition |
net |
Method for computing NET spillovers |
net.list_of_spills |
Function to compute net spillovers |
net.spillover_table |
Function to compute net spillovers |
overall |
Method for computing overall spillovers |
overall.list_of_spills |
Function to compute overall spillovers |
overall.spillover_table |
Function to compute overall spillovers |
pairwise |
Method for computing PAIRWISE spillovers |
pairwise.list_of_spills |
Function to compute pairwise spillovers |
pairwise.spillover_table |
Function to compute pairwise spillovers |
plotFrom |
Method for ploting FROM spillovers |
plotFrom.list_of_spills |
Function to plot from spillovers |
plotNet |
Method for ploting NET spillovers |
plotNet.list_of_spills |
Function to plot net spillovers |
plotOverall |
Method for ploting overall spillovers |
plotOverall.list_of_spills |
Function to plot overall spillovers |
plotPairwise |
Method for ploting PAIRWISE spillovers |
plotPairwise.list_of_spills |
Function to plot pairwise spillovers |
plotSpecific |
Method for ploting specific pair spillover |
plotSpecific.list_of_spills |
Function to plot specific spilover from i to j |
plotTo |
Method for ploting TO spillovers |
plotTo.list_of_spills |
Function to plot to spillovers |
print.list_of_spills |
Function to not print the list_of_spills object |
print.spillover_table |
Function to print the spillover table object |
spillover |
Computing spillover from a fevd |
spilloverBK09 |
Computing the decomposed spillover from a fevd as defined by Barunik, Krehlik (2018) |
spilloverBK12 |
Computing the decomposed spillover from a generalized fevd as defined by Barunik, Krehlik (2018) |
spilloverDY09 |
Computing spillover from a fevd according to Diebold Yilmaz (2009) |
spilloverDY12 |
Computing spillover from a generalized fevd according to Diebold Yilmaz (2012) |
spilloverFft |
Computing the decomposed spillover from a fevd |
spilloverRolling |
Computing rolling spillover |
spilloverRollingBK09 |
Computing rolling frequency spillover from a fevd as defined by Barunik, Krehlik (2018) |
spilloverRollingBK12 |
Computing rolling frequency spillover from a generalized fevd as defined by Barunik, Krehlik (2018) |
spilloverRollingDY09 |
Computing rolling spillover according to Diebold Yilmaz (2009) |
spilloverRollingDY12 |
Computing rolling spillover from the generalized fevd according to Diebold Yilmaz (2012) |
to |
Method for computing TO spillovers |
to.list_of_spills |
Function to compute to spillovers |
to.spillover_table |
Function to compute to spillovers |
volatilities |
Volatilities from Ox Man Institute |