spilloverBK12 {frequencyConnectedness}

Computing the decomposed spillover from a generalized fevd as defined by Barunik, Krehlik (2018)

Description

This function is an internal implementation of the frequency spillover. We apply the identification scheme suggested by fevd to the frequency decomposition of the transfer functions from the estimate est.

Usage

spilloverBK12(est, n.ahead = 100, no.corr, partition)

Arguments

est

the estimate of a system, typically VAR estimate in our case

n.ahead

how many periods ahead should the FEVD be computed, generally this number should be high enough so that it won't change with additional period

no.corr

boolean parameter whether the off-diagonal in the covariance matrix should be set to zero

partition

defines the frequency partitions to which the spillover should be decomposed

Value

spillover_table object

Author(s)

Tomas Krehlik <[e-mail]>