ConnectednessApproach

Overview

1. R-Package
2. Replication Files
   • Diebold and Yilmaz (2009): Orthorgonalized connectedness approach
   • Diebold and Yilmaz (2012): Generalized connectedness approach
   • Gabauer and Gupta (2018): Connectedness decomposition approach
   • Barunik and Krehlik (2018): Frequency connectedness approach
   • Antonakakis et al. (2020a): TVP-VAR connectedness approach
   • Antonakakis et al. (2020b): Optimal DCC-GARCH copula
   • Gabauer (2020): DCC-GARCH connectedness
   • Chatziantoniou and Gabauer (2021): Corrected total connectedness index and pairwise connectedness index
   • Chatziantoniou et al. (2021): Quantile connectedness approach
   • Lastrapes and Wiesen (2021): Joint connectedness approach
   • Balcilar et al. (2021): Extended joint connectedness approach
   • Gabauer et al. (2022): TVP-VAR frequency connectedness approach
   • Adekoya et al. (2022): Asymmetric TVP-VAR connectedness approach
   • Chatziantoniou et al. (2022): Quantile frequency connectedness approach
   • Broadstock et al. (2022): Multivariate/bivariate portfolio techniques and hedge ratios
   • Stenfors et al. (2022): Conditional and aggregated connectedness approach
   • Gabauer et al. (2023): Model-free connectedness measures
   • Naeem et al. (2023): Contemporaneous R2 connectedness approach
   • Balli et al. (2023): Generalized R2 connectedness approach
   • Gabauer and Stenfors (2023): Quantile-on-quantile connectedness approach
   • Cocca et al.  (2024): DCC-GARCH R2 decomposed connectedness approach