ExclusiveConnectedness: Exclusive Connectedness Measures

In YiffyGuo/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., Gabauer, D., & Gozgor, G. (2022). Oil price shocks and exchange rate dynamics: New evidence from decomposed and partial connectedness measures for oil importing and exporting economies.

Examples

#Replication of Chatziantoniou, et al. (2022)
data("cegg2022")
dca = ConnectednessApproach(cegg2022,
                            nlag=1,
                            nfore=20,
                            model="TVP-VAR",
                            connectedness="Time",
                            corrected=TRUE,
                            VAR_config=list(TVPVAR=list(kappa1=0.99, 
                            kappa2=0.99, prior="BayesPrior")))
exc = ExclusiveConnectedness(dca, group=c(1,2,3))

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