InternalConnectedness: Internal Connectedness Measures

In ConnectednessApproach: Connectedness Approach

Internal Connectedness Measures

Description

This function provides internal connectedness measures

Usage

InternalConnectedness(
  dca,
  groups = list(c(1), c(2:ncol(dca$NET))),
  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

Gabauer, D., & Gupta, R. (2018). On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach. Economics Letters, 171, 63-71.

Examples

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")))
int = InternalConnectedness(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.