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 (<>) for relevant information.

Getting started

Package details

AuthorTomas Krehlik [aut, cre]
MaintainerTomas Krehlik <[email protected]>
Package repositoryView on CRAN
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frequencyConnectedness documentation built on Sept. 25, 2018, 9:04 a.m.