AggregatedConnectedness: Aggregated Connectedness Measures

In ConnectednessApproach: Connectedness Approach

Aggregated Connectedness Measures

Description

This function results in aggregated connectedness measures.

Usage

AggregatedConnectedness(dca, groups, start = NULL, end = NULL)

Arguments

dca	Dynamic connectedness object
groups	List of at least two group vectors
start	Start index
end	End index

Value

Get connectedness measures

Author(s)

David Gabauer

References

Chatziantoniou, I., Gabauer, D., & Stenfor, A. (2021). Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves (No. 2021-06). University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.

Examples

#Replication of Gabauer and Gupta (2018)
data("gg2018")
dca = ConnectednessApproach(gg2018, 
                            nlag=1, 
                            nfore=10, 
                            window.size=200,
                            model="TVP-VAR",
                            connectedness="Time",
                            VAR_config=list(TVPVAR=list(kappa1=0.99, kappa2=0.99, 
                            prior="BayesPrior")))
ac = AggregatedConnectedness(dca, groups=list("US"=c(1,2,3,4), "JP"=c(5,6,7,8)))

ConnectednessApproach documentation built on Aug. 31, 2022, 5:05 p.m.