InclusiveConnectedness: Inclusive Connectedness Measures

InclusiveConnectednessR Documentation

Inclusive Connectedness Measures

Description

This function results in inclusive connectedness measures

Usage

InclusiveConnectedness(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


data("cegg2022")
dca = ConnectednessApproach(cegg2022,
                            model="VAR",
                            connectedness="Time",
                            nlag=1,
                            nfore=20,
                            corrected=TRUE)
inc = InclusiveConnectedness(dca, group=c(1,2,3))


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