ExclusiveConnectedness function

Exclusive Connectedness Measures

This function results in exclusive connectedness measures

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

Arguments

• dca: Dynamic connectedness object
• group: Vector of group indices
• start: Start index
• end: End index

Returns

Get connectedness measures

Examples

#Replication of Chatziantoniou, et al. (2022)
data("cegg2022")
dca = ConnectednessApproach(cegg2022,
                            nlag=1,
                            nfore=20,
                            model="VAR",
                            connectedness="Time",
                            corrected=TRUE)
exc = ExclusiveConnectedness(dca, group=c(1,2,3))

References

Chatziantoniou, I., Elsayed, A. H., Gabauer, D., & Gozgor, G. (2023). Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies. Energy Economics, 120, 106627.

Author(s)

David Gabauer