ExtendedJointConnectedness: Balcilar et al. (2021) extended joint connectedness approach

In ConnectednessApproach: Connectedness Approach

Balcilar et al. (2021) extended joint connectedness approach

Description

This function provides extended joint connectedness measures.

Usage

ExtendedJointConnectedness(Phi, Sigma, nfore = 10)

Arguments

Phi	VAR coefficient matrix
Sigma	Residual variance-covariance matrix
nfore	H-step ahead forecast horizon

Value

Get connectedness measures

Author(s)

David Gabauer

References

Balcilar, M., Gabauer, D., & Umar, Z. (2021). Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy, 73, 102219.

Examples

#Replication of Balcilar et al. (2021)
data("bgu2021")
prior = MinnesotaPrior(0.1, k=ncol(bgu2021), nlag=1)
fit = TVPVAR(bgu2021, configuration=list(l=c(0.99,0.99), nlag=1, prior=prior))
dca = ExtendedJointConnectedness(Phi=fit$B_t, Sigma=fit$Q_t, nfore=20)
dca$TABLE

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