Rentability Connectedness Analysis

Total Connectedness Index (TCI)


Connectedness Measures


Pairwise Connectedness Measures


Net Pairwise Connectedness Measures


Y30


Y10


Y7


Y5


Y3


Y2


Y1


M6


M3


M1


Methodology

Connectedness Table: Connectedness table proves central for understanding the various connectedness measures and ther relationships. Its main upper-left NxN block contains the variance decomposition (variance decomposition matrix). From a connectedness perspective, they measure pairwise directional connectedness. The connectedness table makes clear how one begin with the most disaggregated connectedness measures and aggregate them in a various ways to obtain macroeconomic economy-wide total directional and total connectedness.
Pairwise Connectedness Graph: Pairwise Connected Graph is a stringball representation of pairwise directional connectedness.
Net Pairwise Connectedness Graph: Net Pairwise Connected Graph is a stringball representation of net pairwise directional connectedness.
Total Connectedness Index: Total Connectedness Index express the total cross-variance contribution as a percent of total variance.
Plot TO: Dynamic total directional connectedness plot.
Plot FROM: Dynamic from total directional connectedness plot.
Plot NET: Dynamic net total directional connectedness plot.