ConnectednessApproach (version 1.0.4)

AggregatedConnectedness: Aggregated Connectedness Measures

Description

This function results in aggregated connectedness measures.

Usage

AggregatedConnectedness(dca, groups, start = NULL, end = NULL)

Value

Get connectedness measures

Arguments

dca

Dynamic connectedness object

groups

List of at least two group vectors

start

Start index

end

End index

Author

David Gabauer

References

Stenfors, A., Chatziantoniou, I., & Gabauer, D. (2022). Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves. Journal of International Financial Markets, Institutions and Money.

Examples

# \donttest{
#Replication of Gabauer and Gupta (2018)
data("gg2018")
dca = ConnectednessApproach(gg2018, 
                            nlag=1, 
                            nfore=10, 
                            model="VAR",
                            connectedness="Time")
ac = AggregatedConnectedness(dca, groups=list("US"=c(1,2,3,4), "JP"=c(5,6,7,8)))
# }