ExtendedJointConnectedness {ConnectednessApproach} | R Documentation |
Balcilar et al. (2021) extended joint connectedness approach
Description
This function provides extended joint connectedness measures.
Usage
ExtendedJointConnectedness(Phi, Sigma, nfore = 10)
Arguments
Phi |
VAR coefficient matrix |
Sigma |
Residual variance-covariance matrix |
nfore |
H-step ahead forecast horizon |
Value
Get connectedness measures
Author(s)
David Gabauer
References
Balcilar, M., Gabauer, D., & Umar, Z. (2021). Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy, 73, 102219.
Examples
#Replication of Balcilar et al. (2021)
data("bgu2021")
fit = VAR(bgu2021, configuration=list(nlag=1))
dca = ExtendedJointConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=20)
dca$TABLE
[Package ConnectednessApproach version 1.0.3 Index]