JointConnectedness function

Lastrapes and Wiesen (2021) joint connectedness approach

This function calculates the Lastrapes and Wiesen (2021) joint connectedness measures.

JointConnectedness(Phi, Sigma, nfore)

Arguments

• Phi: VAR coefficient matrix
• Sigma: Residual variance-covariance matrix
• nfore: H-step ahead forecast horizon

Returns

Get connectedness measures

Examples

data("lw2021")
fit = VAR(lw2021, configuration=list(nlag=2))
dca = JointConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=30)
dca$TABLE

References

Lastrapes, W. D., & Wiesen, T. F. (2021). The joint spillover index. Economic Modelling, 94, 681-691.

Author(s)

David Gabauer