i work with stock return prices of Banks to create a spillover table that shows the connectedness between those banks. The cov- matrix is already created (Sigma). Since i am still a beginner, i have some problems with the creation of A. For example:
sot(Sigma, A, ncores = 1, ...)
the explanation of A is:
Either a 3-dimensional array with A[„h] being MA coefficient matrices of the same dimension as Sigma or a list thereof.
I'm confused, because i also don't know what grades A consists of
Thanks for help