ExtendedJointConnectedness {ConnectednessApproach} | R Documentation |
This function provides extended joint connectedness measures.
ExtendedJointConnectedness(Phi, Sigma, nfore = 10)
Phi |
VAR coefficient matrix |
Sigma |
Residual variance-covariance matrix |
nfore |
H-step ahead forecast horizon |
Get connectedness measures
David Gabauer
Balcilar, M., Gabauer, D., & Umar, Z. (2021). Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy, 73, 102219.
#Replication of Balcilar et al. (2021)
data("bgu2021")
prior = MinnesotaPrior(0.1, k=ncol(bgu2021), nlag=1)
fit = TVPVAR(bgu2021, configuration=list(l=c(0.99,0.99), nlag=1, prior=prior))
dca = ExtendedJointConnectedness(Phi=fit$B_t, Sigma=fit$Q_t, nfore=20)
dca$TABLE