JointConnectedness {ConnectednessApproach} | R Documentation |
This function calculates the Lastrapes and Wiesen (2021) joint connectedness measures.
JointConnectedness(Phi, Sigma, nfore)
Phi |
VAR coefficient matrix |
Sigma |
Residual variance-covariance matrix |
nfore |
H-step ahead forecast horizon |
Get connectedness measures
David Gabauer
Lastrapes, W. D., & Wiesen, T. F. (2021). The joint spillover index. Economic Modelling, 94, 681-691.
data(lw2021)
fit = VAR(lw2021, configuration=list(nlag=2))
dca = JointConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=30)
dca$TABLE