Package: frequencyConnectedness 0.2.4

frequencyConnectedness: Spectral Decomposition of Connectedness Measures

Accompanies a paper (Barunik, Krehlik (2018) <doi:10.1093/jjfinec/nby001>) dedicated to spectral decomposition of connectedness measures and their interpretation. We implement all the developed estimators as well as the historical counterparts. For more information, see the help or GitHub page (<https://github.com/tomaskrehlik/frequencyConnectedness>) for relevant information.

Authors:Tomas Krehlik [aut, cre]

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frequencyConnectedness.pdf |frequencyConnectedness.html✨
frequencyConnectedness/json (API)
NEWS

# Install 'frequencyConnectedness' in R:
install.packages('frequencyConnectedness', repos = c('https://tomaskrehlik.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/tomaskrehlik/frequencyconnectedness/issues

Datasets:

On CRAN:

5.87 score 99 stars 1 packages 50 scripts 774 downloads 25 exports 15 dependencies

Last updated 2 years agofrom:51250a989b. Checks:7 OK. Indexed: yes.

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Doc / VignettesOKJan 01 2025
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R-4.5-linuxOKJan 01 2025
R-4.4-winOKJan 01 2025
R-4.4-macOKJan 01 2025
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R-4.3-macOKJan 01 2025

Exports:collapseBoundsfevdfftFEVDfftGenFEVDfromgenFEVDgetPartitionnetoverallpairwiseplotFromplotNetplotOverallplotPairwiseplotSpecificplotTospilloverBK09spilloverBK12spilloverDY09spilloverDY12spilloverRollingBK09spilloverRollingBK12spilloverRollingDY09spilloverRollingDY12to

Dependencies:evaluatehighrknitrlatticelmtestMASSnlmepbapplysandwichstrucchangeurcavarsxfunyamlzoo

Readme and manuals

Help Manual

Help pageTopics
Method for for collapsing bound for frequency spilloverscollapseBounds
Function to collapse boundscollapseBounds.list_of_spills
Function to collapse boundscollapseBounds.spillover_table
The simulated time-seriesexampleSim
Compute a forecast error vector decomposition in recursive identification schemefevd
Compute a FFT transform of forecast error vector decomposition in recursive identification schemefftFEVD
Compute a FFT transform of forecast error vector decomposition in generalised VAR scheme.fftGenFEVD
Method for computing FROM spilloversfrom
Function to compute from spilloversfrom.list_of_spills
Function to compute from spilloversfrom.spillover_table
Compute a forecast error vector decomposition in generalised VAR scheme.genFEVD
Get the indeces for the individual intervalsgetIndeces
Get a list of indeces corresponding to parts of frequency partitiongetPartition
Method for computing NET spilloversnet
Function to compute net spilloversnet.list_of_spills
Function to compute net spilloversnet.spillover_table
Method for computing overall spilloversoverall
Function to compute overall spilloversoverall.list_of_spills
Function to compute overall spilloversoverall.spillover_table
Method for computing PAIRWISE spilloverspairwise
Function to compute pairwise spilloverspairwise.list_of_spills
Function to compute pairwise spilloverspairwise.spillover_table
Method for ploting FROM spilloversplotFrom
Function to plot from spilloversplotFrom.list_of_spills
Method for ploting NET spilloversplotNet
Function to plot net spilloversplotNet.list_of_spills
Method for ploting overall spilloversplotOverall
Function to plot overall spilloversplotOverall.list_of_spills
Method for ploting PAIRWISE spilloversplotPairwise
Function to plot pairwise spilloversplotPairwise.list_of_spills
Method for ploting specific pair spilloverplotSpecific
Function to plot specific spilover from i to jplotSpecific.list_of_spills
Method for ploting TO spilloversplotTo
Function to plot to spilloversplotTo.list_of_spills
Function to not print the list_of_spills objectprint.list_of_spills
Function to print the spillover table objectprint.spillover_table
Computing spillover from a fevdspillover
Computing the decomposed spillover from a fevd as defined by Barunik, Krehlik (2018)spilloverBK09
Computing the decomposed spillover from a generalized fevd as defined by Barunik, Krehlik (2018)spilloverBK12
Computing spillover from a fevd according to Diebold Yilmaz (2009)spilloverDY09
Computing spillover from a generalized fevd according to Diebold Yilmaz (2012)spilloverDY12
Computing the decomposed spillover from a fevdspilloverFft
Computing rolling spilloverspilloverRolling
Computing rolling frequency spillover from a fevd as defined by Barunik, Krehlik (2018)spilloverRollingBK09
Computing rolling frequency spillover from a generalized fevd as defined by Barunik, Krehlik (2018)spilloverRollingBK12
Computing rolling spillover according to Diebold Yilmaz (2009)spilloverRollingDY09
Computing rolling spillover from the generalized fevd according to Diebold Yilmaz (2012)spilloverRollingDY12
Method for computing TO spilloversto
Function to compute to spilloversto.list_of_spills
Function to compute to spilloversto.spillover_table
Volatilities from Ox Man Institutevolatilities