frequencyConnectedness

Spectral Decomposition of Connectedness Measures

CRAN Package

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.

  • Version0.2.4
  • R versionunknown
  • LicenseGPL-2
  • Needs compilation?No
  • Last release02/24/2023

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  • Depends4 packages
  • Suggests7 packages
  • Reverse Imports1 package