library("knitr")
library("devtools")
## Loading required package: usethis
library("ConnectednessApproach")
## 
## Please cite as:
##  Gabauer, David (2022). ConnectednessApproach.
##  R package version 1.0.0. https://CRAN.R-project.org/package=ConnectednessApproach

Please use the latest version

#install_github("GabauerDavid/ConnectednessApproach")
data(dy2012)
dca = ConnectednessApproach(dy2012,
                            nlag=1,
                            window.size=200,
                            connectedness="R2",
                            Connectedness_config=list(R2Connectedness=list(method="pearson", decomposition=TRUE, relative=FALSE)))
## Estimating model
## Computing connectedness measures
## The contemporaneous R2 connectedness approach is implemented according to:
##  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.
## The generalized R2 connectedness approach is implemented according to:
##  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.

Dynamic total connectedness

PlotTCI(dca)

Net total directional connectedness

PlotNET(dca)

TO total directional connectedness

PlotTO(dca)

FROM total directional connectedness

PlotFROM(dca)

Net pairwise directional connectedness

PlotNPDC(dca)

Network plot

PlotNetwork(dca, threshold=0.01)

sca = ConnectednessApproach(dy2012,
                            nlag=1,
                            window.size=200,
                            connectedness="R2",
                            Connectedness_config=list(R2Connectedness=list(method="spearman", decomposition=TRUE, relative=FALSE)))
## Estimating model
## Computing connectedness measures
## The contemporaneous R2 connectedness approach is implemented according to:
##  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.
## The generalized R2 connectedness approach is implemented according to:
##  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.
kca = ConnectednessApproach(dy2012,
                            nlag=1,
                            window.size=200,
                            connectedness="R2",
                            Connectedness_config=list(R2Connectedness=list(method="kendall", decomposition=TRUE, relative=FALSE)))
## Estimating model
## Computing connectedness measures
## The contemporaneous R2 connectedness approach is implemented according to:
##  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.
## The generalized R2 connectedness approach is implemented according to:
##  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.
date = as.Date(rownames(dca$TCI))
plot(date, dca$TCI[,1], type="l", las=1, xaxs="i", yaxs="i", tck=-0.01, xlab="", ylab="", ylim=c(0,40))
grid(NA, NULL)
lines(date, sca$TCI[,1], col=2)
lines(date, kca$TCI[,1], col=3)
legend("topleft", c("Pearson", "Spearman", "Kendall"), fill=1:3, bty="n")
box()

So far only a limited number of connectedness plots are available.