spilloverRollingBK12 {frequencyConnectedness}

Computing rolling frequency spillover from a generalized fevd as defined by Barunik, Krehlik (2018)

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.

Usage

spilloverRollingBK12(
  data,
  n.ahead = 100,
  no.corr,
  partition,
  func_est,
  params_est,
  window,
  cluster = NULL
)

Arguments

data

variable containing the dataset

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

func_est

a name of the function to estimate with, for example "var" for VAR from vars package

params_est

a list of the parameters to pass to the function besides the data that are passed as a first element.

window

length of the window to be rolled

cluster

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

Author(s)

Tomas Krehlik <[e-mail]>