ConditionalConnectedness {ConnectednessApproach} | R Documentation |
This function computes the conditional connectedness measures.
ConditionalConnectedness(dca, group = c(1, 2, 3), start = NULL, end = NULL)
dca |
Dynamic connectedness object |
group |
Group vector |
start |
Start index |
end |
End index |
Get connectedness measures
David Gabauer
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.
#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))