AggregatedConnectedness {ConnectednessApproach}

Aggregated Connectedness Measures

Description

This function results in aggregated connectedness measures.

Usage

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

Arguments

dca

Dynamic connectedness object

groups

List of at least two group vectors

start

Start index

end

End index

Value

Get connectedness measures

Author(s)

David Gabauer

References

Chatziantoniou, I., Gabauer, D., & Stenfor, A. (2021). Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves (No. 2021-06). University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.

Examples

#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)))