R2Connectedness function

R2 connectedness approach

This function computes the R2 connectedness measures

R2Connectedness(
  x,
  window.size = NULL,
  nlag = 0,
  method = "pearson",
  relative = FALSE,
  corrected = FALSE
)

Arguments

• x: zoo data matrix
• window.size: Rolling-window size or Bayes Prior sample size
• nlag: Lag length
• method: "pearson", "spearman", or "kendall". "pearson" is default.
• relative: Boolean whether relative or absolute R2 should be used
• corrected: Boolean value whether corrected or standard TCI should be computed

Returns

Get R2 connectedness measures

Examples

data("dy2012")
dca = R2Connectedness(dy2012, window.size=NULL, nlag=0, method="pearson")
dca$TABLE

References

Naeem, M. A., Chatziantoniou, I., Gabauer, D., & Karim, S. (2023). Measuring the G20 Stock Market Return Transmission Mechanism: Evidence From the R2 Connectedness Approach. International Review of Financial Analysis.

Balli, F., Balli, H. O., Dang, T. H. N., & Gabauer, D. (2023). Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market. Finance Research Letters, 57, 104168.

Author(s)

David Gabauer