ConditionalConnectedness: ConditionalConnectedness

In YiffyGuo/GabauerDavid-ConnectednessApproach: Connectedness Approach

ConditionalConnectedness

Description

This function computes the conditional connectedness measures.

Usage

ConditionalConnectedness(dca, group = c(1, 2, 3), start = NULL, end = NULL)

Arguments

dca	Dynamic connectedness object
group	Group vector
start	Start index
end	End index

Value

Get connectedness measures

Author(s)

David Gabauer

References

Chatziantoniou, I., Gabauer, D., & Stenfors, A. (2021). Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves (No. 2021-06). University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.

Examples

#Replication of Chatzianzoniou, Gabauer and Stenfors (2022)
data(cgs2022)
dca = ConnectednessApproach(cgs2022, 
                            nlag=1, 
                            nfore=10, 
                            window.size=250,
                            model="TVP-VAR",
                            connectedness="Time",
                            VAR_config=list(TVPVAR=list(kappa1=0.99, kappa2=0.99, 
                            prior="BayesPrior")))
cc = ConditionalConnectedness(dca, group=c(1,4,7,10,13,16))

YiffyGuo/GabauerDavid-ConnectednessApproach documentation built on April 15, 2022, 5:20 p.m.