ExtendedJointConnectedness function

Balcilar et al. (2021) extended joint connectedness approach

This function provides extended joint connectedness measures.

ExtendedJointConnectedness(Phi, Sigma, nfore = 10)

Arguments

• Phi: VAR coefficient matrix
• Sigma: Residual variance-covariance matrix
• nfore: H-step ahead forecast horizon

Returns

Get connectedness measures

Examples

#Replication of Balcilar et al. (2021)
data("bgu2021")
fit = VAR(bgu2021, configuration=list(nlag=1))
dca = ExtendedJointConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=20)
dca$TABLE

References

Balcilar, M., Gabauer, D., & Umar, Z. (2021). Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy, 73, 102219.

Author(s)

David Gabauer