Package: Spillover 0.1.1
Jilber Urbina
Spillover: Spillover/Connectedness Index Based on VAR Modelling
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>.
Authors:
Spillover_0.1.1.tar.gz
Spillover_0.1.1.tar.gz(r-4.5-noble)Spillover_0.1.1.tar.gz(r-4.4-noble)
Spillover_0.1.1.tgz(r-4.4-emscripten)Spillover_0.1.1.tgz(r-4.3-emscripten)
Spillover.pdf |Spillover.html✨
Spillover/json (API)
NEWS
| # Install 'Spillover' in R: |
| install.packages('Spillover', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
- dy2009 - Diebold and Yilmaz (2009) dataset
- dy2012 - Diebold and Yilmaz (2012) dataset
- rol.returns - Two-days Rolling Average Returns
- rol.vol - Two-days Rolling Average Intra-day Volatilities
- stock.prices - Daily Stock Prices
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 6 months agofrom:369a31683a. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Sep 09 2024 |
| R-4.5-linux | OK | Sep 09 2024 |
Exports:dynamic.spilloverg.fevdG.spillovernetO.spilloverplotdyroll.netroll.spillovertotal.dynamic.spillover
Dependencies:clicolorspacecpp11dplyrfansifarverfastSOMgenericsggplot2gluegtableisobandlabelinglatticelifecyclelmtestmagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigpurrrR6RColorBrewerrlangsandwichscalesstringistringrstrucchangetibbletidyrtidyselecturcautf8varsvctrsviridisLitewithrzoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Diebold and Yilmaz (2009) dataset | dy2009 |
| Diebold and Yilmaz (2012) dataset | dy2012 |
| dynamnic_spillover is a function for estimating DY directional spillovers. | dynamic.spillover |
| Generalized Forecast Error Variance Decomposition | g.fevd |
| Generalized spillover index | G.spillover |
| Net spillovers | net |
| Orthogonalized spillover index | O.spillover |
| Plot directional spillover index | plotdy |
| Two-days Rolling Average Returns | rol.returns |
| Two-days Rolling Average Intra-day Volatilities | rol.vol |
| Dynamic Spillover Index | roll.net |
| Dynamic Spillover Index | roll.spillover |
| Spillover | Spillover-package Spillover |
| Daily Stock Prices | stock.prices |
| Dynamic Spillover Index | total.dynamic.spillover |