ExclusiveConnectedness {ConnectednessApproach}

Exclusive Connectedness Measures

Description

This function results in exclusive connectedness measures

Usage

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

Arguments

dca

Dynamic connectedness object

group

Vector of group indices

start

Start index

end

End index

Value

Get connectedness measures

Author(s)

David Gabauer

Examples

#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))