ConditionalConnectedness function

ConditionalConnectedness

This function computes the conditional connectedness measures.

ConditionalConnectedness(dca, group = c(1, 2, 3), start = NULL, end = NULL)

Arguments

• dca: Dynamic connectedness object
• group: Group vector
• start: Start index
• end: End index

Returns

Get connectedness measures

Examples

#Replication of Chatzianzoniou, Gabauer and Stenfors (2022)
data("cgs2022")
dca = ConnectednessApproach(cgs2022, 
                            nlag=1, 
                            nfore=10, 
                            window.size=250,
                            model="VAR",
                            connectedness="Time")
cc = ConditionalConnectedness(dca, group=c(1,4,7,10,13,16))

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