Asymmetric price transmission between two time series is assessed. The names of functions and datasets reveal the categories they belong to. A prefix of
da is for datasets,
ci for cointegration, and
ecm for error correction model.
The focus is on the price transmission between two price variables. Therefore, objectives like fitting an error correction model for more than two variables are beyond the scope of this package.
As a teaching demo, a graphical user interface is also developed for the main functions in this package. Several packages are needed to run the two included GUIs:
guiApt. See the note at
guiCor for installation detail.
|Depends:||R (>= 3.0.0), erer, gWidgets|
|Imports:||car, urca, copula|
|Suggests:||RGtk2, gWidgetsRGtk2, cairoDevice|
Changyou Sun ([email protected])
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