Asymmetric price transmission between two time series is assessed. Several functions are available for linear and nonlinear threshold cointegration, and furthermore, symmetric and asymmetric error correction model. A graphical user interface is also included for major functions included in the package, so users can also use these functions in a more intuitive way.
|Author||Changyou Sun <[email protected]>|
|Date of publication||2016-02-25 23:01:55|
|Maintainer||Changyou Sun <[email protected]>|
|Package repository||View on CRAN|
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