Contagion · Spillover (dynamic)
spillover_rolling
Rolling Connectedness (time-varying Diebold-Yilmaz). Time-varying Diebold-Yilmaz total connectedness over a sliding window (same GFEVD computation as 'connectedness') across 2-6 markets; returns the TCI time series whose peaks mark systemic-stress episodes.
Identity
version 1.0.0 · capability contagion · min_obs 300 · runner r (spillover_rolling.R)
Primitives
P7
Composes with
not yet a catalog field — operator-composition metadata lands with Pathway F; nothing is invented here.
Parameters
| name | type | req | values / range |
|---|
| series | series (n=2–6) | required | |
| p | int | optional | |
| H | int | optional | |
| window | int | optional | |
| step | int | optional | |
Returns
method,dataset,series,n,var_lag,horizon,window,step,windows,tci_series,tci_mean,tci_min,tci_max,tci_last,interpretation
Paper
none — honest: a substrate method; no single companion paper claims it.
Changelog
[object Object]
Run it
curl -s -X POST https://shssm-compute-b7ui3oxaqq-el.a.run.app/api/compute/run \
-H "Content-Type: application/json" \
-d '{"method":"spillover_rolling","params":{"series":["India","USA"]}}'