R2Correlations: R2 decomposed connectedness from correlations
In ConnectednessApproach: Connectedness Approach
View source: R/R2Correlations.R
R2Correlations R Documentation
R2 decomposed connectedness from correlations
Description
This function computes the R2 decomposed connectedness measures from correlations
Usage
R2Correlations(R)
Arguments
R
zoo correlation data matrix
Value
Get R2 connectedness measures from correlation matrix
Author(s)
David Gabauer
References
Naeem, M. A., Chatziantoniou, I., Gabauer, D., & Karim, S. (2023). Measuring the G20 Stock Market Return Transmission Mechanism: Evidence From the R2 Connectedness Approach. International Review of Financial Analysis.
Balli, F., Balli, H. O., Dang, T. H. N., & Gabauer, D. (2023). Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market. Finance Research Letters, 57, 104168.
ConnectednessApproach documentation built on June 22, 2024, 10:22 a.m.
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View source: R/R2Correlations.R
| R2Correlations | R Documentation |
R2 decomposed connectedness from correlations
Description
This function computes the R2 decomposed connectedness measures from correlations
Usage
R2Correlations(R)
Arguments
R |
zoo correlation data matrix |
Value
Get R2 connectedness measures from correlation matrix
Author(s)
David Gabauer
References
Naeem, M. A., Chatziantoniou, I., Gabauer, D., & Karim, S. (2023). Measuring the G20 Stock Market Return Transmission Mechanism: Evidence From the R2 Connectedness Approach. International Review of Financial Analysis.
Balli, F., Balli, H. O., Dang, T. H. N., & Gabauer, D. (2023). Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market. Finance Research Letters, 57, 104168.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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