Spillover Index Based on VAR Modelling


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Documentation for package ‘Spillover’ version 0.1.0.1

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Spillover-package Spillover
dy2009 Diebold and Yilmaz (2009) dataset
dy2012 Diebold and Yilmaz (2012) dataset
g.fevd Generalized Forecast Error Variance Decomposition
G.spillover Generalized spillover index
net Net spillovers
O.spillover Orthogonalized spillover index
rol.returns Two-days Rolling Average Returns
rol.vol Two-days Rolling Average Intra-day Volatilities
roll.net Dynamic Spillover Index
roll.spillover Dynamic Spillover Index
Spillover Spillover
stock.prices Daily Stock Prices