Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach

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=0,
                            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.

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=0,
                            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.

kca = ConnectednessApproach(dy2012,
                            nlag=0,
                            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.

PlotTCI(dca, ca=list(sca, kca), ylim=c(0, 40))

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