spilloverRolling {frequencyConnectedness}

Computing rolling spillover

Description

This function computes the rolling spillover using the standard VAR estimate. We implement the parallel version for faster processing. The window is of fixed window and is rolled over the data. Interpretation of the other parameters is the same as in the standard computation of spillover. For usage, see how spilloverRollingDY09, etc. are implemented.

Usage

spilloverRolling(
  func_spill,
  params_spill,
  func_est,
  params_est,
  data,
  window,
  cluster = NULL,
  check_data = TRUE
)

Arguments

func_spill

name of the function that returns FEVD for the estimtate est

params_spill

parameters from spillover estimation function as a list

func_est

name of the estimation function

params_est

parameters from the estimation function as a list

data

variable containing the dataset

window

length of the window to be rolled

cluster

either NULL for no parallel processing or the variable containing the cluster.

check_data

whether to check the data for NAs before starting estimation. Typically should be left true unless the underlying estimate is providing a way how to infer those NAs.

Value

A corresponding spillover value on a given freqeuncy band, ordering of bands corresponds to the ordering of original bounds.

Author(s)

Tomas Krehlik <[e-mail]>