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ConnectednessApproach

Step 1: Install the devtools package

To install a R package, start by installing the devtools package. The best way to do this is from CRAN, by typing:

install.packages("devtools")

Step 2: Install the package of interest from GitHub

Install the package of interest from GitHub using the following code, where you need to remember to list both the author and the name of the package (in GitHub jargon, the package is the repo, which is short for repository). In this example, we are installing the ConnectednessApproach package created by GabauerDavid.

library(devtools)
install_github("GabauerDavid/ConnectednessApproach")

Step 3: Go through tutorial

ConnectednessApproach Tutorial

BibTeX Citation

If you use this package in a scientific publication, I would appreciate if you use the following citation:

@article{gabauer2022,
  title={Package ‘ConnectednessApproach’},
  author={Gabauer, David},
  year={2022}
}

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Version

Install

install.packages('ConnectednessApproach')

Monthly Downloads

4,550

Version

1.0.3

License

GPL-3

Maintainer

David Gabauer

Last Published

June 16th, 2024

Functions in ConnectednessApproach (1.0.3)

PlotFROM

Dynamic from total directional connectedness plot
PlotINF

Dynamic influence connectedness plot
GARCHtests

Univariate GARCH test statistics
MinimumConnectednessPortfolio

Minimum connectedness portfolio
MinnesotaPrior

Minnesota Prior
InternalConnectedness

Internal Connectedness Measures
PlotPCI

Dynamic pairwise connectedness plot
PlotTCI

Dynamic total connectedness plot
InclusiveConnectedness

Inclusive Connectedness Measures
IRF

Impulse response functions
UninformativePrior

Uninformative Prior
PlotNPDC

Dynamic net pairwise connectedness plot
PlotNET

Dynamic net total directional connectedness plot
PartialCorrelations

Partial Contemporaneous Correlations
aaacgo2022

Dataset of Adekoya, Akinseye, Antonakakis, Chatziantoniou, Gabauer and Oliyide (2022)
MultivariateHedgingPortfolio

Multivariate Hedging Portfolio
R2Correlations

R2 decomposed connectedness from correlations
R2Connectedness

R2 connectedness approach
WeightedBoxTest

WeightedBoxTest
PlotNPT

Dynamic net pairwise transmission plot
ExclusiveConnectedness

Exclusive Connectedness Measures
VFEVD

Generalized volatility forecast error variance decomposition and volatility impulse response functions
PlotNetwork

Network plot
RiskParityPortfolio

Minimum connectedness portfolio
JointConnectedness

Lastrapes and Wiesen (2021) joint connectedness approach
cgp2024

Dataset of Cocca, Gabauer, and Pomberger (2024)
SummaryStatistics

Summary Statistics
bcg2022

Dataset of Broadstock, Chatziantoniou and Gabauer (2022)
cgg2022

Dataset of Chatziantoniou, Gabauer and Gupta (2022)
dy2009

Dataset of Diebold and Yilmaz (2009)
VarianceTest

Variance Test
Wold

Wold representation theorem
VAR

Vector autoregression
cg2021

Dataset of Chatziantoniou and Gabauer (2021)
g2020

Dataset of Gabauer (2020)
cegg2022

Dataset of Chatziantoniou, Elsayed, Gabauer and Gozgor (2022)
bgu2021

Dataset of Balcilar, Gabauer and Umar (2021)
jcggh2022

Dataset of Juncal, Chatziantoniou, Gabauer, Garcia & Hardik (2022)
acg2020

Dataset of Antonakakis, Chatziantoniou and Gabauer (2020)
lw2021

Dataset of Lastrapes and Wiesen (2021)
dy2012

Dataset of Diebold and Yilmaz (2012)
LADVAR

Least absolute deviation vector autoregression
PlotTO

Dynamic to total directional connectedness plot
QVAR

Quantile vector autoregression
TVPVAR

Time-varying parameter vector autoregression
TimeConnectedness

Diebold and Yilmaz (2009, 2012) connectedness approach
gcat2022

Dataset of Chatziantoniou, Abakah, Gabauer & Tiwari (2022)
gg2018

Dataset of Gabauer and Gupta (2018)
cgs2021

Dataset of Chatziantoniou, Gabauer and Stenfors (2021)
cgs2022

Dataset of Chatziantoniou, Gabauer and Stenfors (2022)
gghm2022

Dataset of Gabauer, Gupta, Haradik and Miller (2020)
ElasticNetVAR

Elastic Net vector autoregression
ConnectednessApproach

Connectedness Approach
BayesPrior

Bayes Prior
ConditionalCorrelation

Partial Conditional Correlations
DCCGARCHselection

DCC-GARCH selection specification
ConnectednessTable

Connectedness table
ConditionalConnectedness

ConditionalConnectedness
BivariateDCCGARCH

Bivariate DCC-GARCH
AggregatedConnectedness

Aggregated Connectedness Measures
BivariatePortfolio

Kroner and Ng (1998) optimal bivariate portfolio weights
EquallyWeightedPortfolio

Equally weighted portfolio
ExtendedJointConnectedness

Balcilar et al. (2021) extended joint connectedness approach
ExternalConnectedness

External Connectedness Measures
HedgeRatio

Kroner and Sultan (1993) hedge ratios
FEVD

Forecast error variance decomposition
FrequencyConnectedness

Baruník and Křehlík (2018) frequency connectedness approach
GARCHselection

Univariate GARCH selection criterion