TimeConnectedness function

Diebold and Yilmaz (2009, 2012) connectedness approach

This function allows to calculate the Diebold and Yilmaz (2009, 2012) connectedness measures.

TimeConnectedness(
  Phi = NULL,
  Sigma = NULL,
  nfore = 10,
  generalized = TRUE,
  corrected = FALSE,
  FEVD = NULL
)

Arguments

• Phi: VAR coefficient matrix
• Sigma: Residual variance-covariance matrix
• nfore: H-step ahead forecast horizon
• generalized: Orthorgonalized/generalized FEVD
• corrected: Boolean value whether corrected or standard TCI should be computed
• FEVD: Alternatively, to provide Phi and Sigma it is also possible to use FEVD directly.

Returns

Get connectedness measures

Examples

#Replication of DY2012
data("dy2012")
fit = VAR(dy2012, configuration=list(nlag=4))
dca = TimeConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=10, generalized=TRUE)
dca$TABLE

References

Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171.

Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66.

Author(s)

David Gabauer