ConnectednessTable: Connectedness table

In YiffyGuo/GabauerDavid-ConnectednessApproach: Connectedness Approach

Connectedness table

Description

This function provides standard connectedness table.

Usage

ConnectednessTable(FEVD, digit = 2)

Arguments

FEVD	Forecast error variance decomposition
digit	Number of decimal places

Value

Get connectedness table

References

Chatziantoniou, I., & Gabauer, D. (2021). EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness. The Quarterly Review of Economics and Finance, 79, 1-14.\ Gabauer, D. (2021). Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system. Journal of Multinational Financial Management, 60, 100680.

Examples

data(dy2012)
fit = VAR(dy2012, configuration=list(nlag=1))
fevd = FEVD(Phi=fit$B, Sigma=fit$Q, nfore=10, type="time", generalized=TRUE)$FEVD
dca = ConnectednessTable(fevd)

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