AggregatedConnectedness {ConnectednessApproach} | R Documentation |
This function results in aggregated connectedness measures.
AggregatedConnectedness(dca, groups, start = NULL, end = NULL)
dca |
Dynamic connectedness object |
groups |
List of at least two group vectors |
start |
Start index |
end |
End index |
Get connectedness measures
David Gabauer
Chatziantoniou, I., Gabauer, D., & Stenfor, 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.
#Replication of Gabauer and Gupta (2018)
data("gg2018")
dca = ConnectednessApproach(gg2018,
nlag=1,
nfore=10,
window.size=200,
model="TVP-VAR",
connectedness="Time",
VAR_config=list(TVPVAR=list(kappa1=0.99, kappa2=0.99,
prior="BayesPrior")))
ac = AggregatedConnectedness(dca, groups=list("US"=c(1,2,3,4), "JP"=c(5,6,7,8)))