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.
Package details |
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Maintainer | |
License | GPL-2 |
Version | 0.2.4 |
URL | https://github.com/tomaskrehlik/frequencyConnectedness |
Package repository | View on GitHub |
Installation |
Install the latest version of this package by entering the following in R:
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