ConnectednessApproach (version 1.0.4)

ExclusiveConnectedness: Exclusive Connectedness Measures

Description

This function results in exclusive connectedness measures

Usage

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

Value

Get connectedness measures

Arguments

dca

Dynamic connectedness object

group

Vector of group indices

start

Start index

end

End index

Author

David Gabauer

References

Chatziantoniou, I., Elsayed, A. H., Gabauer, D., & Gozgor, G. (2023). Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies. Energy Economics, 120, 106627.

Examples

# \donttest{
#Replication of Chatziantoniou, et al. (2022)
data("cegg2022")
dca = ConnectednessApproach(cegg2022,
                            nlag=1,
                            nfore=20,
                            model="VAR",
                            connectedness="Time",
                            corrected=TRUE)
exc = ExclusiveConnectedness(dca, group=c(1,2,3))
# }