Spectral Decomposition of Connectedness Measures

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Documentation for package ‘frequencyConnectedness’ version 0.2.4

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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