R: Spectral Decomposition of Connectedness Measures

# Spectral Decomposition of Connectedness Measures

## Documentation for package ‘frequencyConnectedness’ version 0.2.4

- DESCRIPTION file
- Package NEWS

## Help Pages

collapseBounds | Method for for collapsing bound for frequency spillovers
collapseBounds.list_of_spills | Function to collapse bounds
collapseBounds.spillover_table | Function to collapse bounds
exampleSim | The simulated time-series
fevd | Compute a forecast error vector decomposition in recursive identification scheme
fftFEVD | Compute a FFT transform of forecast error vector decomposition in recursive identification scheme
fftGenFEVD | Compute a FFT transform of forecast error vector decomposition in generalised VAR scheme.
from | Method for computing FROM spillovers
from.list_of_spills | Function to compute from spillovers
from.spillover_table | Function to compute from spillovers
genFEVD | Compute a forecast error vector decomposition in generalised VAR scheme.
getIndeces | Get the indeces for the individual intervals
getPartition | Get a list of indeces corresponding to parts of frequency partition
net | Method for computing NET spillovers
net.list_of_spills | Function to compute net spillovers
net.spillover_table | Function to compute net spillovers
overall | Method for computing overall spillovers
overall.list_of_spills | Function to compute overall spillovers
overall.spillover_table | Function to compute overall spillovers
pairwise | Method for computing PAIRWISE spillovers
pairwise.list_of_spills | Function to compute pairwise spillovers
pairwise.spillover_table | Function to compute pairwise spillovers
plotFrom | Method for ploting FROM spillovers
plotFrom.list_of_spills | Function to plot from spillovers
plotNet | Method for ploting NET spillovers
plotNet.list_of_spills | Function to plot net spillovers
plotOverall | Method for ploting overall spillovers
plotOverall.list_of_spills | Function to plot overall spillovers
plotPairwise | Method for ploting PAIRWISE spillovers
plotPairwise.list_of_spills | Function to plot pairwise spillovers
plotSpecific | Method for ploting specific pair spillover
plotSpecific.list_of_spills | Function to plot specific spilover from i to j
plotTo | Method for ploting TO spillovers
plotTo.list_of_spills | Function to plot to spillovers
print.list_of_spills | Function to not print the list_of_spills object
print.spillover_table | Function to print the spillover table object
spillover | Computing spillover from a fevd
spilloverBK09 | Computing the decomposed spillover from a fevd as defined by Barunik, Krehlik (2018)
spilloverBK12 | Computing the decomposed spillover from a generalized fevd as defined by Barunik, Krehlik (2018)
spilloverDY09 | Computing spillover from a fevd according to Diebold Yilmaz (2009)
spilloverDY12 | Computing spillover from a generalized fevd according to Diebold Yilmaz (2012)
spilloverFft | Computing the decomposed spillover from a fevd
spilloverRolling | Computing rolling spillover
spilloverRollingBK09 | Computing rolling frequency spillover from a fevd as defined by Barunik, Krehlik (2018)
spilloverRollingBK12 | Computing rolling frequency spillover from a generalized fevd as defined by Barunik, Krehlik (2018)
spilloverRollingDY09 | Computing rolling spillover according to Diebold Yilmaz (2009)
spilloverRollingDY12 | Computing rolling spillover from the generalized fevd according to Diebold Yilmaz (2012)
to | Method for computing TO spillovers
to.list_of_spills | Function to compute to spillovers
to.spillover_table | Function to compute to spillovers
volatilities | Volatilities from Ox Man Institute