Spillover/Connectedness Index Based on VAR Modelling
dynamnic_spillover is a function for estimating DY directional spillov...
Generalized Forecast Error Variance Decomposition
Generalized spillover index
Net spillovers
Orthogonalized spillover index
Plot directional spillover index
Dynamic Spillover Index
Dynamic Spillover Index
Spillover
Dynamic Spillover Index
A user-friendly tool for estimating both total and directional connectedness spillovers based on Diebold and Yilmaz (2009, 2012). It also provides the user with rolling estimation for total and net indices. User can find both orthogonalized and generalized versions for each kind of measures. See Diebold and Yilmaz (2009, 2012) find them at <doi:10.1111/j.1468-0297.2008.02208.x> and <doi:10.1016/j.ijforecast.2011.02.006>.