Connectedness Approach

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Documentation for package ‘ConnectednessApproach’ version 1.0.3

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aaacgo2022 Dataset of Adekoya, Akinseye, Antonakakis, Chatziantoniou, Gabauer and Oliyide (2022)
acg2020 Dataset of Antonakakis, Chatziantoniou and Gabauer (2020)
AggregatedConnectedness Aggregated Connectedness Measures
BayesPrior Bayes Prior
bcg2022 Dataset of Broadstock, Chatziantoniou and Gabauer (2022)
bgu2021 Dataset of Balcilar, Gabauer and Umar (2021)
BivariateDCCGARCH Bivariate DCC-GARCH
BivariatePortfolio Kroner and Ng (1998) optimal bivariate portfolio weights
cegg2022 Dataset of Chatziantoniou, Elsayed, Gabauer and Gozgor (2022)
cg2021 Dataset of Chatziantoniou and Gabauer (2021)
cgg2022 Dataset of Chatziantoniou, Gabauer and Gupta (2022)
cgp2024 Dataset of Cocca, Gabauer, and Pomberger (2024)
cgs2021 Dataset of Chatziantoniou, Gabauer and Stenfors (2021)
cgs2022 Dataset of Chatziantoniou, Gabauer and Stenfors (2022)
ConditionalConnectedness ConditionalConnectedness
ConditionalCorrelation Partial Conditional Correlations
ConnectednessApproach Connectedness Approach
ConnectednessTable Connectedness table
DCCGARCHselection DCC-GARCH selection specification
dy2009 Dataset of Diebold and Yilmaz (2009)
dy2012 Dataset of Diebold and Yilmaz (2012)
ElasticNetVAR Elastic Net vector autoregression
EquallyWeightedPortfolio Equally weighted portfolio
ExclusiveConnectedness Exclusive Connectedness Measures
ExtendedJointConnectedness Balcilar et al. (2021) extended joint connectedness approach
ExternalConnectedness External Connectedness Measures
FEVD Forecast error variance decomposition
FrequencyConnectedness Baruník and Křehlík (2018) frequency connectedness approach
g2020 Dataset of Gabauer (2020)
GARCHselection Univariate GARCH selection criterion
GARCHtests Univariate GARCH test statistics
gcat2022 Dataset of Chatziantoniou, Abakah, Gabauer & Tiwari (2022)
gg2018 Dataset of Gabauer and Gupta (2018)
gghm2022 Dataset of Gabauer, Gupta, Haradik and Miller (2020)
HedgeRatio Kroner and Sultan (1993) hedge ratios
InclusiveConnectedness Inclusive Connectedness Measures
InternalConnectedness Internal Connectedness Measures
IRF Impulse response functions
jcggh2022 Dataset of Juncal, Chatziantoniou, Gabauer, Garcia & Hardik (2022)
JointConnectedness Lastrapes and Wiesen (2021) joint connectedness approach
LADVAR Least absolute deviation vector autoregression
lw2021 Dataset of Lastrapes and Wiesen (2021)
MinimumConnectednessPortfolio Minimum connectedness portfolio
MinnesotaPrior Minnesota Prior
MultivariateHedgingPortfolio Multivariate Hedging Portfolio
PartialCorrelations Partial Contemporaneous Correlations
PlotFROM Dynamic from total directional connectedness plot
PlotINF Dynamic influence connectedness plot
PlotNET Dynamic net total directional connectedness plot
PlotNetwork Network plot
PlotNPDC Dynamic net pairwise connectedness plot
PlotNPT Dynamic net pairwise transmission plot
PlotPCI Dynamic pairwise connectedness plot
PlotTCI Dynamic total connectedness plot
PlotTO Dynamic to total directional connectedness plot
QVAR Quantile vector autoregression
R2Connectedness R2 connectedness approach
R2Correlations R2 decomposed connectedness from correlations
RiskParityPortfolio Minimum connectedness portfolio
SummaryStatistics Summary Statistics
TimeConnectedness Diebold and Yilmaz (2009, 2012) connectedness approach
TVPVAR Time-varying parameter vector autoregression
UninformativePrior Uninformative Prior
VAR Vector autoregression
VarianceTest Variance Test
VFEVD Generalized volatility forecast error variance decomposition and volatility impulse response functions
WeightedBoxTest WeightedBoxTest
Wold Wold representation theorem