InternalConnectedness function

Internal Connectedness Measures

This function provides internal connectedness measures

InternalConnectedness(
  dca,
  groups = list(c(1), c(2:ncol(dca$NET))),
  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

data("gg2018")
dca = ConnectednessApproach(gg2018, 
                            nlag=1, 
                            nfore=10, 
                            window.size=200,
                            model="VAR",
                            connectedness="Time")
int = InternalConnectedness(dca, groups=list("US"=c(1,2,3,4), "JP"=c(5,6,7,8)))

References

Gabauer, D., & Gupta, R. (2018). On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach. Economics Letters, 171, 63-71.

Author(s)

David Gabauer