InclusiveConnectedness | R Documentation |
This function results in inclusive connectedness measures
InclusiveConnectedness(dca, group = c(1, 2), start = NULL, end = NULL)
dca |
Dynamic connectedness object |
group |
Vector of group indices |
start |
Start index |
end |
End index |
Get connectedness measures
David Gabauer
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.
data("cegg2022")
dca = ConnectednessApproach(cegg2022,
model="VAR",
connectedness="Time",
nlag=1,
nfore=20,
corrected=TRUE)
inc = InclusiveConnectedness(dca, group=c(1,2,3))
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