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
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.
#Replication of Chatzianzoniou, Gabauer and Stenfors (2022)
data("cgs2022")
dca = ConnectednessApproach(cgs2022,
nlag=1,
nfore=10,
window.size=250,
model="VAR",
connectedness="Time")
cc = ConditionalConnectedness(dca, group=c(1,4,7,10,13,16))
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.