Accompanies a paper (Barunik, Krehlik (2017) ) 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 () for relevant information.

Documentation

Manual: frequencyConnectedness.pdf
Vignette: None available.

Maintainer: Tomas Krehlik <tomas.krehlik at gmail.com>

Author(s): Tomas Krehlik*

Install package and any missing dependencies by running this line in your R console:

install.packages("frequencyConnectedness")

Depends vars, urca
Imports
Suggests testthat, stringr, mAr, reshape2, ggplot2, parallel, zoo
Enhances
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Package frequencyConnectedness
Materials
URL https://github.com/tomaskrehlik/frequencyConnectedness
Task Views
Version 0.1.6
Published 2017-06-09
License GPL-2
BugReports https://github.com/tomaskrehlik/frequencyConnectedness/issues
SystemRequirements
NeedsCompilation no
Citation
CRAN checks frequencyConnectedness check results
Package source frequencyConnectedness_0.1.6.tar.gz