Package: ConnectednessApproach 1.0.3

David Gabauer

ConnectednessApproach: Connectedness Approach

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.

Authors:David Gabauer

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ConnectednessApproach.pdf |ConnectednessApproach.html✨
ConnectednessApproach/json (API)

# Install 'ConnectednessApproach' in R:
install.packages('ConnectednessApproach', repos = c('https://gabauerdavid.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/gabauerdavid/connectednessapproach/issues

Datasets:
  • aaacgo2022 - Dataset of Adekoya, Akinseye, Antonakakis, Chatziantoniou, Gabauer and Oliyide
  • acg2020 - Dataset of Antonakakis, Chatziantoniou and Gabauer
  • bcg2022 - Dataset of Broadstock, Chatziantoniou and Gabauer
  • bgu2021 - Dataset of Balcilar, Gabauer and Umar
  • cegg2022 - Dataset of Chatziantoniou, Elsayed, Gabauer and Gozgor
  • cg2021 - Dataset of Chatziantoniou and Gabauer
  • cgg2022 - Dataset of Chatziantoniou, Gabauer and Gupta
  • cgp2024 - Dataset of Cocca, Gabauer, and Pomberger
  • cgs2021 - Dataset of Chatziantoniou, Gabauer and Stenfors
  • cgs2022 - Dataset of Chatziantoniou, Gabauer and Stenfors
  • dy2009 - Dataset of Diebold and Yilmaz
  • dy2012 - Dataset of Diebold and Yilmaz
  • g2020 - Dataset of Gabauer
  • gcat2022 - Dataset of Chatziantoniou, Abakah, Gabauer & Tiwari
  • gg2018 - Dataset of Gabauer and Gupta
  • gghm2022 - Dataset of Gabauer, Gupta, Haradik and Miller
  • jcggh2022 - Dataset of Juncal, Chatziantoniou, Gabauer, Garcia & Hardik
  • lw2021 - Dataset of Lastrapes and Wiesen

On CRAN:

5.28 score 76 stars 9 scripts 901 downloads 50 exports 117 dependencies

Last updated 5 months agofrom:246cafc190. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 31 2024
R-4.5-winOKOct 31 2024
R-4.5-linuxOKOct 31 2024
R-4.4-winOKOct 31 2024
R-4.4-macOKOct 31 2024
R-4.3-winOKOct 31 2024
R-4.3-macOKOct 31 2024

Exports:AggregatedConnectednessBayesPriorBivariateDCCGARCHBivariatePortfolioConditionalConnectednessConditionalCorrelationConnectednessApproachConnectednessTableDCCGARCHselectionElasticNetVAREquallyWeightedPortfolioExclusiveConnectednessExtendedJointConnectednessExternalConnectednessFEVDFrequencyConnectednessGARCHselectionGARCHtestsHedgeRatioInclusiveConnectednessInternalConnectednessIRFJointConnectednessLADVARMinimumConnectednessPortfolioMinnesotaPriorMultivariateHedgingPortfolioPartialCorrelationsPlotFROMPlotINFPlotNETPlotNetworkPlotNPDCPlotNPTPlotPCIPlotTCIPlotTOQVARR2ConnectednessR2CorrelationsRiskParityPortfolioSummaryStatisticsTimeConnectednessTVPVARUninformativePriorVARVarianceTestVFEVDWeightedBoxTestWold

Dependencies:abindalabamabackportsBesselbitbootbroomcarcarDatachronclicodetoolscolorspacecorpcorcowplotcpp11crayonDerivDistributionUtilsdoBydplyrevaluatefansifarverfastmatrixffFNNforeachFormulafracdifffrequencyConnectednessGeneralizedHyperbolicgenericsggplot2glmnetgluegmpgtablehighrhmsigraphisobanditeratorskernlabKernSmoothknitrksL1packlabelinglatticelifecyclelme4lmtestmagrittrMASSMatrixMatrixModelsmclustmgcvmicrobenchmarkminqamodelrmomentsmulticoolmunsellmvtnormnlmenloptrnnetnumDerivpbapplypbkrtestpcaPPPerformanceAnalyticspillarpkgconfigpracmaprettyunitsprogresspurrrquadprogquantregR6RColorBrewerRcppRcppArmadilloRcppEigenriskParityPortfoliorlangrmgarchRmpfrRsolnprugarchsandwichscalesshapeSkewHyperbolicSparseMspdstringistringrstrucchangesurvivaltibbletidyrtidyselecttruncnormurcautf8varsvctrsviridisLitewithrxfunxtsyamlzoo

Readme and manuals

Help Manual

Help pageTopics
Dataset of Adekoya, Akinseye, Antonakakis, Chatziantoniou, Gabauer and Oliyide (2022)aaacgo2022
Dataset of Antonakakis, Chatziantoniou and Gabauer (2020)acg2020
Aggregated Connectedness MeasuresAggregatedConnectedness
Bayes PriorBayesPrior
Dataset of Broadstock, Chatziantoniou and Gabauer (2022)bcg2022
Dataset of Balcilar, Gabauer and Umar (2021)bgu2021
Bivariate DCC-GARCHBivariateDCCGARCH
Kroner and Ng (1998) optimal bivariate portfolio weightsBivariatePortfolio
Dataset of Chatziantoniou, Elsayed, Gabauer and Gozgor (2022)cegg2022
Dataset of Chatziantoniou and Gabauer (2021)cg2021
Dataset of Chatziantoniou, Gabauer and Gupta (2022)cgg2022
Dataset of Cocca, Gabauer, and Pomberger (2024)cgp2024
Dataset of Chatziantoniou, Gabauer and Stenfors (2021)cgs2021
Dataset of Chatziantoniou, Gabauer and Stenfors (2022)cgs2022
ConditionalConnectednessConditionalConnectedness
Partial Conditional CorrelationsConditionalCorrelation
Connectedness ApproachConnectednessApproach
Connectedness tableConnectednessTable
DCC-GARCH selection specificationDCCGARCHselection
Dataset of Diebold and Yilmaz (2009)dy2009
Dataset of Diebold and Yilmaz (2012)dy2012
Elastic Net vector autoregressionElasticNetVAR
Equally weighted portfolioEquallyWeightedPortfolio
Exclusive Connectedness MeasuresExclusiveConnectedness
Balcilar et al. (2021) extended joint connectedness approachExtendedJointConnectedness
External Connectedness MeasuresExternalConnectedness
Forecast error variance decompositionFEVD
Baruník and Křehlík (2018) frequency connectedness approachFrequencyConnectedness
Dataset of Gabauer (2020)g2020
Univariate GARCH selection criterionGARCHselection
Univariate GARCH test statisticsGARCHtests
Dataset of Chatziantoniou, Abakah, Gabauer & Tiwari (2022)gcat2022
Dataset of Gabauer and Gupta (2018)gg2018
Dataset of Gabauer, Gupta, Haradik and Miller (2020)gghm2022
Kroner and Sultan (1993) hedge ratiosHedgeRatio
Inclusive Connectedness MeasuresInclusiveConnectedness
Internal Connectedness MeasuresInternalConnectedness
Impulse response functionsIRF
Dataset of Juncal, Chatziantoniou, Gabauer, Garcia & Hardik (2022)jcggh2022
Lastrapes and Wiesen (2021) joint connectedness approachJointConnectedness
Least absolute deviation vector autoregressionLADVAR
Dataset of Lastrapes and Wiesen (2021)lw2021
Minimum connectedness portfolioMinimumConnectednessPortfolio
Minnesota PriorMinnesotaPrior
Multivariate Hedging PortfolioMultivariateHedgingPortfolio
Partial Contemporaneous CorrelationsPartialCorrelations
Dynamic from total directional connectedness plotPlotFROM
Dynamic influence connectedness plotPlotINF
Dynamic net total directional connectedness plotPlotNET
Network plotPlotNetwork
Dynamic net pairwise connectedness plotPlotNPDC
Dynamic net pairwise transmission plotPlotNPT
Dynamic pairwise connectedness plotPlotPCI
Dynamic total connectedness plotPlotTCI
Dynamic to total directional connectedness plotPlotTO
Quantile vector autoregressionQVAR
R2 connectedness approachR2Connectedness
R2 decomposed connectedness from correlationsR2Correlations
Minimum connectedness portfolioRiskParityPortfolio
Summary StatisticsSummaryStatistics
Diebold and Yilmaz (2009, 2012) connectedness approachTimeConnectedness
Time-varying parameter vector autoregressionTVPVAR
Uninformative PriorUninformativePrior
Vector autoregressionVAR
Variance TestVarianceTest
Generalized volatility forecast error variance decomposition and volatility impulse response functionsVFEVD
WeightedBoxTestWeightedBoxTest
Wold representation theoremWold