Accompanies a paper (Barunik, Krehlik (2018) <doi:10.1093/jjfinec/nby001>) dedicated to spectral decomposition of connectedness measures and their interpretation. We implement all the developed estimators as well as the historical counterparts. For more information, see the help or GitHub page (<https://github.com/tomaskrehlik/frequencyConnectedness>) for relevant information.
| Version: | 0.2.2 |
| Depends: | vars, urca, knitr, pbapply |
| Imports: | methods |
| Suggests: | testthat, stringr, mAr, reshape2, ggplot2, parallel, zoo, BigVAR |
| Published: | 2020-02-16 |
| Author: | Tomas Krehlik [aut, cre] |
| Maintainer: | Tomas Krehlik <tomas.krehlik at gmail.com> |
| BugReports: | https://github.com/tomaskrehlik/frequencyConnectedness/issues |
| License: | GPL-2 |
| URL: | https://github.com/tomaskrehlik/frequencyConnectedness |
| NeedsCompilation: | no |
| Materials: | NEWS |
| CRAN checks: | frequencyConnectedness results |
| Reference manual: | frequencyConnectedness.pdf |
| Package source: | frequencyConnectedness_0.2.2.tar.gz |
| Windows binaries: | r-devel: frequencyConnectedness_0.2.2.zip, r-release: frequencyConnectedness_0.2.2.zip, r-oldrel: frequencyConnectedness_0.2.2.zip |
| macOS binaries: | r-release: frequencyConnectedness_0.2.2.tgz, r-oldrel: frequencyConnectedness_0.2.2.tgz |
| Old sources: | frequencyConnectedness archive |
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