AggregatedConnectedness: Aggregated Connectedness Measures

In GabauerDavid/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

Stenfors, A., Chatziantoniou, I., & Gabauer, D. (2022). Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves. Journal of International Financial Markets, Institutions and Money.

Examples

#Replication of Gabauer and Gupta (2018)
data("gg2018")
dca = ConnectednessApproach(gg2018, 
                            nlag=1, 
                            nfore=10, 
                            model="VAR",
                            connectedness="Time")
ac = AggregatedConnectedness(dca, groups=list("US"=c(1,2,3,4), "JP"=c(5,6,7,8)))

GabauerDavid/ConnectednessApproach documentation built on March 5, 2025, 11:17 a.m.