ExclusiveConnectedness: Exclusive Connectedness Measures

In GabauerDavid/ConnectednessApproach: Connectedness Approach

Exclusive Connectedness Measures

Description

This function results in exclusive connectedness measures

Usage

ExclusiveConnectedness(dca, group = c(1, 2), start = NULL, end = NULL)

Arguments

dca	Dynamic connectedness object
group	Vector of group indices
start	Start index
end	End index

Value

Get connectedness measures

Author(s)

David Gabauer

References

Chatziantoniou, I., Elsayed, A. H., Gabauer, D., & Gozgor, G. (2023). Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies. Energy Economics, 120, 106627.

Examples

#Replication of Chatziantoniou, et al. (2022)
data("cegg2022")
dca = ConnectednessApproach(cegg2022,
                            nlag=1,
                            nfore=20,
                            model="VAR",
                            connectedness="Time",
                            corrected=TRUE)
exc = ExclusiveConnectedness(dca, group=c(1,2,3))

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