AggregatedConnectedness function

Aggregated Connectedness Measures

This function results in aggregated connectedness measures.

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

Returns

Get connectedness measures

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)))

References

Stenfors, A., Chatziantoniou, I., & Gabauer, D. (2022). Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves. Journal of International Financial Markets, Institutions and Money.

Author(s)

David Gabauer