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frequencyConnectedness: Spectral Decomposition of Connectedness Measures
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.
Getting started
Browse package contents
Package details |
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| Author | Tomas Krehlik [aut, cre] |
| Maintainer | Tomas Krehlik <tomas.krehlik@gmail.com> |
| License | GPL-2 |
| Version | 0.2.4 |
| URL | https://github.com/tomaskrehlik/frequencyConnectedness |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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