How immune is the connectedness of European natural gas markets to exceptional shocks? Replication codes.

This dataset contains both time series as well as R scripts that allows to replicate the results described in the article "How immune is the connectedness of European natural gas markets to exceptional shocks?" published in Resources Policy. They allow to estimate TVP-VAR model and calculate DY and BK decomposition. The detailed instruction on how to use the attached codes is presented in the `readme.txt` file.