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>.
| Version: | 0.1.1 |
| Depends: | R (≥ 3.5.0), vars |
| Imports: | dplyr, ggplot2, fastSOM, tidyr, zoo |
| Suggests: | rmarkdown, knitr |
| Published: | 2024-03-12 |
| DOI: | 10.32614/CRAN.package.Spillover |
| Author: | Jilber Urbina |
| Maintainer: | Jilber Urbina <JilberUrbina at gmail.com> |
| License: | GPL-2 |
| NeedsCompilation: | no |
| Materials: | NEWS |
| CRAN checks: | Spillover results |
| Reference manual: | Spillover.pdf |
| Vignettes: |
Spillover |
| Package source: | Spillover_0.1.1.tar.gz |
| Windows binaries: | r-devel: Spillover_0.1.1.zip, r-release: Spillover_0.1.1.zip, r-oldrel: Spillover_0.1.1.zip |
| macOS binaries: | r-release (arm64): Spillover_0.1.1.tgz, r-oldrel (arm64): Spillover_0.1.1.tgz, r-release (x86_64): Spillover_0.1.1.tgz, r-oldrel (x86_64): Spillover_0.1.1.tgz |
| Old sources: | Spillover archive |
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