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:Jilber Urbina

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'))

Peer review:

Datasets:
  • 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.

3.86 score 8 stars 5 scripts 350 downloads 9 mentions 9 exports 43 dependencies

Last updated 9 months agofrom:369a31683a. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 08 2024
R-4.5-linuxOKDec 08 2024

Exports:dynamic.spilloverg.fevdG.spillovernetO.spilloverplotdyroll.netroll.spillovertotal.dynamic.spillover

Dependencies:clicolorspacecpp11dplyrfansifarverfastSOMgenericsggplot2gluegtableisobandlabelinglatticelifecyclelmtestmagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigpurrrR6RColorBrewerrlangsandwichscalesstringistringrstrucchangetibbletidyrtidyselecturcautf8varsvctrsviridisLitewithrzoo

Better to give than to receive: directional spillovers

Rendered fromSpillover.Rmdusingknitr::rmarkdownon Dec 08 2024.

Last update: 2024-03-13
Started: 2022-10-16