Learn R Programming

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

13,401

Version

1.0.4

License

GPL-3

Maintainer

David Gabauer

Last Published

March 1st, 2025

Functions in ConnectednessApproach (1.0.4)

MultivariateHedgingPortfolio

Multivariate Hedging Portfolio
GARCHtests

Univariate GARCH test statistics
PartialCorrelations

Partial Contemporaneous Correlations
HedgeRatio

Kroner and Sultan (1993) hedge ratios
InclusiveConnectedness

Inclusive Connectedness Measures
InternalConnectedness

Internal Connectedness Measures
PlotPCI

Dynamic pairwise connectedness plot
FEVD

Forecast error variance decomposition
FrequencyConnectedness

Baruník and Křehlík (2018) frequency connectedness approach
PlotNET

Dynamic net total directional connectedness plot
MinimumConnectednessPortfolio

Minimum connectedness portfolio
MinnesotaPrior

Minnesota Prior
PlotNPDC

Dynamic net pairwise connectedness plot
R2Connectedness

R2 connectedness approach
PlotTO

Dynamic to total directional connectedness plot
QVAR

Quantile vector autoregression
ExclusiveConnectedness

Exclusive Connectedness Measures
EquallyWeightedPortfolio

Equally weighted portfolio
PlotINF

Dynamic influence connectedness plot
UninformativePrior

Uninformative Prior
PlotFROM

Dynamic from total directional connectedness plot
VAR

Vector autoregression
PlotNPT

Dynamic net pairwise transmission plot
TimeConnectedness

Diebold and Yilmaz (2009, 2012) connectedness approach
TVPVAR

Time-varying parameter vector autoregression
PlotNetwork

Network plot
R2Correlations

R2 decomposed connectedness from correlations
aaacgo2022

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

Dynamic total connectedness plot
IRF

Impulse response functions
JointConnectedness

Lastrapes and Wiesen (2021) joint connectedness approach
LADVAR

Least absolute deviation vector autoregression
RiskParityPortfolio

Minimum connectedness portfolio
cgs2021

Dataset of Chatziantoniou, Gabauer and Stenfors (2021)
cgs2022

Dataset of Chatziantoniou, Gabauer and Stenfors (2022)
acg2020

Dataset of Antonakakis, Chatziantoniou and Gabauer (2020)
SummaryStatistics

Summary Statistics
VFEVD

Generalized volatility forecast error variance decomposition and volatility impulse response functions
cgp2024

Dataset of Cocca, Gabauer, and Pomberger (2024)
bcg2022

Dataset of Broadstock, Chatziantoniou and Gabauer (2022)
gcat2022

Dataset of Chatziantoniou, Abakah, Gabauer & Tiwari (2022)
dy2012

Dataset of Diebold and Yilmaz (2012)
cgg2022

Dataset of Chatziantoniou, Gabauer and Gupta (2022)
dy2009

Dataset of Diebold and Yilmaz (2009)
bgu2021

Dataset of Balcilar, Gabauer and Umar (2021)
g2020

Dataset of Gabauer (2020)
Wold

Wold representation theorem
WeightedBoxTest

WeightedBoxTest
cegg2022

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

Variance Test
lw2021

Dataset of Lastrapes and Wiesen (2021)
jcggh2022

Dataset of Juncal, Chatziantoniou, Gabauer, Garcia & Hardik (2022)
cg2021

Dataset of Chatziantoniou and Gabauer (2021)
gg2018

Dataset of Gabauer and Gupta (2018)
gghm2022

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

Connectedness table
ConditionalCorrelation

Partial Conditional Correlations
BivariateDCCGARCH

Bivariate DCC-GARCH
ElasticNetVAR

Elastic Net vector autoregression
ConditionalConnectedness

ConditionalConnectedness
AggregatedConnectedness

Aggregated Connectedness Measures
BivariatePortfolio

Kroner and Ng (1998) optimal bivariate portfolio weights
DCCGARCHselection

DCC-GARCH selection specification
BayesPrior

Bayes Prior
ConnectednessApproach

Connectedness Approach
ExtendedJointConnectedness

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

External Connectedness Measures
GARCHselection

Univariate GARCH selection criterion