ExternalConnectedness {ConnectednessApproach}

External Connectedness Measures

Description

This function provides external connectedness measures

Usage

ExternalConnectedness(
  dca,
  groups = list(c(1), c(2:ncol(dca$NET))),
  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

Gabauer, D., & Gupta, R. (2018). On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach. Economics Letters, 171, 63-71.

Examples

data("gg2018")
dca = ConnectednessApproach(gg2018, model="VAR",
                            connectedness="Time",
                            nlag=1, nfore=10, window.size=200)
ext = ExternalConnectedness(dca, groups=list("US"=c(1,2,3,4), "JP"=c(5,6,7,8)))