ConnectednessApproach (version 1.0.4)

ConditionalConnectedness: ConditionalConnectedness

Description

This function computes the conditional connectedness measures.

Usage

ConditionalConnectedness(dca, group = c(1, 2, 3), start = NULL, end = NULL)

Value

Get connectedness measures

Arguments

dca

Dynamic connectedness object

group

Group vector

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 Chatzianzoniou, Gabauer and Stenfors (2022)
data("cgs2022")
dca = ConnectednessApproach(cgs2022, 
                            nlag=1, 
                            nfore=10, 
                            window.size=250,
                            model="VAR",
                            connectedness="Time")
cc = ConditionalConnectedness(dca, group=c(1,4,7,10,13,16))
# }