Computes the Network-Informed Contagion Index, which measures the degree
to which a market is absorbing systemic risk from its network neighbors.
This serves as the outcome variable in the TE-DiD framework.
Usage
calculate_nici(
te_matrices,
weight_matrices,
monthly_dates = NULL,
crisis_start = as.Date("2020-03-01"),
crisis_end = as.Date("2020-12-31")
)
Arguments
- te_matrices
Named list of transfer entropy matrices
- weight_matrices
Named list of network weight matrices
- monthly_dates
Vector of dates for time-varying analysis
- crisis_start
Date when crisis period begins
- crisis_end
Date when crisis period ends
Value
Named list containing NICI results for each weight type
Examples
if (FALSE) { # \dontrun{
monthly_dates <- seq(as.Date("2019-01-01"), as.Date("2021-12-31"), by = "month")
nici_data <- calculate_nici(te_matrices, weight_matrices, monthly_dates)
} # }