View source: R/ConditionalConnectedness.R
ConditionalConnectedness | R Documentation |
This function computes the conditional connectedness measures.
ConditionalConnectedness(dca, group = c(1, 2, 3), start = NULL, end = NULL)
dca |
Dynamic connectedness object |
group |
Group vector |
start |
Start index |
end |
End index |
Get connectedness measures
David Gabauer
Chatziantoniou, I., Gabauer, D., & Stenfors, 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.
#Replication of Chatzianzoniou, Gabauer and Stenfors (2022) #data(cgs2022) #dca = ConnectednessApproach(cgs2022, # nlag=1, # nfore=10, # window.size=250, # model="TVP-VAR", # connectedness="Time", # VAR_config=list(TVPVAR=list(kappa1=0.99, kappa2=0.99, # prior="BayesPrior"))) #cc = ConditionalConnectedness(dca, group=c(1,4,7,10,13,16))
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