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ConnectednessApproach
View on CRAN: Click
here
Download and install ConnectednessApproach package within the R console
Install from CRAN:
install.packages("ConnectednessApproach")
Install from Github:
library("remotes")
install_github("cran/ConnectednessApproach")
Install by package version:
library("remotes")
install_version("ConnectednessApproach", "1.0.3")
Attach the package and use:
library("ConnectednessApproach")
Maintained by
David Gabauer
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2022-03-22
Latest Update: 2022-08-31
Description:
The estimation of static and dynamic connectedness measures is created in a modular and user-friendly way. Besides, the time domain connectedness approaches, this package further allows to estimate the frequency connectedness approach, the joint spillover index and the extended joint connectedness approach. In addition, all connectedness frameworks can be based upon orthogonalized and generalized VAR, QVAR, LASSO VAR, Ridge VAR, Elastic Net VAR and TVP-VAR models. Furthermore, the package includes the conditional, decomposed and partial connectedness measures as well as the pairwise connectedness index, influence index and corrected total connectedness index. Finally, a battery of datasets are available allowing to replicate a variety of connectedness papers.
How to cite:
David Gabauer (2022). ConnectednessApproach: Connectedness Approach. R package version 1.0.3, https://cran.r-project.org/web/packages/ConnectednessApproach. Accessed 21 Nov. 2024.
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Other R packages that ConnectednessApproach depends,
imports, suggests or enhances
Complete documentation for ConnectednessApproach
Functions, R codes and Examples using
the ConnectednessApproach R package
Some associated functions: AggregatedConnectedness . BayesPrior . BivariateDCCGARCH . BivariatePortfolio . ConditionalConnectedness . ConditionalCorrelation . ConnectednessApproach . ConnectednessTable . DCCGARCHselection . ElasticNetVAR . EquallyWeightedPortfolio . ExclusiveConnectedness . ExtendedJointConnectedness . ExternalConnectedness . FEVD . FrequencyConnectedness . GARCHselection . GARCHtests . HedgeRatio . IRF . InclusiveConnectedness . InternalConnectedness . JointConnectedness . MinimumConnectednessPortfolio . MinnesotaPrior . PartialCorrelations . PlotFROM . PlotINF . PlotNET . PlotNPDC . PlotNPT . PlotNetwork . PlotPCI . PlotTCI . PlotTO . QVAR . RiskParityPortfolio . SummaryStatistics . TVPVAR . TimeConnectedness . UninformativePrior . VAR . VFEVD . VarianceTest . WeightedBoxTest . Wold . aaacgo2022 . acg2020 . bcg2022 . bgu2021 . cegg2022 . cg2021 . cgg2022 . cgs2021 . cgs2022 . dy2009 . dy2012 . g2020 . gcat2022 . gg2018 . gghm2022 . jcggh2022 . lw2021 .
Some associated R codes: AggregatedConnectedness.R . BayesPrior.R . BivariateDCCGARCH.R . BivariatePortfolio.R . ConditionalConnectedness.R . ConditionalCorrelations.R . ConnectednessApproach-internal.R . ConnectednessApproach.R . ConnectednessTable.R . DCCGARCHselection.R . ElasticNetVAR.R . EquallyWeightedPortfolio.R . ExclusiveConnectedness.R . ExtendedJointConnectedness.R . ExternalConnectedness.R . FEVD.R . FrequencyConnectedness.R . GARCHselection.R . GARCHtests.R . HedgeRatio.R . IRF.R . InclusiveConnectedness.R . InternalConnectedness.R . JointConnectedness.R . MinimumConnectednessPortfolio.R . MinnesotaPrior.R . PartialCorrelations.R . PlotFROM.R . PlotINF.R . PlotNET.R . PlotNPDC.R . PlotNPT.R . PlotNetwork.R . PlotPCI.R . PlotTCI.R . PlotTO.R . QVAR.R . RiskParityPortfolio.R . SummaryStatistics.R . TVPVAR.R . TimeConnectedness.R . UninformativePrior.R . VAR.R . VFEVD.R . VarianceTest.R . WeightedBoxTest.R . Wold.R . Full ConnectednessApproach package functions and examples
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