R2Correlations function

R2 decomposed connectedness from correlations

This function computes the R2 decomposed connectedness measures from correlations

R2Correlations(R)

Arguments

• R: zoo correlation data matrix

Returns

Get R2 connectedness measures from correlation matrix

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