R2Correlations {ConnectednessApproach}

R2 decomposed connectedness from correlations

Description

This function computes the R2 decomposed connectedness measures from correlations

Usage

R2Correlations(R)

Arguments

R

zoo correlation data matrix

Value

Get R2 connectedness measures from correlation matrix

Author(s)

David Gabauer

References

Naeem, M. A., Chatziantoniou, I., Gabauer, D., & Karim, S. (2023). Measuring the G20 Stock Market Return Transmission Mechanism: Evidence From the R2 Connectedness Approach. International Review of Financial Analysis.

Balli, F., Balli, H. O., Dang, T. H. N., & Gabauer, D. (2023). Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market. Finance Research Letters, 57, 104168.