spilloverRollingDY09 {frequencyConnectedness}

Computing rolling spillover according to Diebold Yilmaz (2009)

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

spilloverRollingDY09(
  data,
  n.ahead = 100,
  no.corr,
  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

func_est

estimation function, usually would be VAR or BigVAR function to estimate the multivariate system

params_est

parameters passed to the estimation function, as a list, for parameters refer to documentation of the estimating function

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]>