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Spillover  

Spillover/Connectedness Index Based on VAR Modelling
View on CRAN: Click here


Download and install Spillover package within the R console
Install from CRAN:
install.packages("Spillover")

Install from Github:
library("remotes")
install_github("cran/Spillover")

Install by package version:
library("remotes")
install_version("Spillover", "0.1.1")



Attach the package and use:
library("Spillover")
Maintained by
Jilber Urbina
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2020-09-29
Latest Update: 2023-02-12
Description:
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>.
How to cite:
Jilber Urbina (2020). Spillover: Spillover/Connectedness Index Based on VAR Modelling. R package version 0.1.1, https://cran.r-project.org/web/packages/Spillover. Accessed 28 Jan. 2025.
Previous versions and publish date:
0.1.0.1 (2021-06-17 18:30), 0.1.0.2 (2022-10-16 21:52), 0.1.0.3 (2023-02-12 22:52), 0.1 (2020-09-29 10:40)
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Complete documentation for Spillover
Functions, R codes and Examples using the Spillover R package
Full Spillover package functions and examples
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