FrequencyConnectedness function

Baruník and Křehlík (2018) frequency connectedness approach

This function calculates the Baruník and Křehlík (2018) frequency connectedness measures.

FrequencyConnectedness(
  Phi,
  Sigma,
  nfore = 100,
  partition = c(pi, pi/2, 0),
  generalized = TRUE,
  orth = FALSE,
  scenario = "ABS",
  corrected = FALSE
)

Arguments

• Phi: VAR coefficient matrix
• Sigma: Residual variance-covariance matrix
• nfore: H-step ahead forecast horizon
• partition: Frequency spectrum
• generalized: Orthorgonalized/generalized FEVD
• orth: Orthorgonalized shocks
• scenario: ABS or WTH
• corrected: Boolean value whether corrected or standard TCI should be computed

Returns

Get connectedness measures

Examples

data("dy2012")
partition = c(pi+0.00001, pi/4, 0)
fit = VAR(dy2012, configuration=list(nlag=4))
dca = FrequencyConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=100, partition=partition)

References

Baruník, J., & Křehlík, T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics, 16(2), 271-296.

Author(s)

David Gabauer