Spectral Decomposition of Connectedness Measures

Accompanies a paper (Barunik, Krehlik (2017) ) 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.


frequencyConnectedness v0.2.1 (Release date: )


  • Based on the pull request #2, the warning has been removed for cases when the class of data is longer than 1. Thanks go to regisely.

frequencyConnectedness v0.2.0 (Release date: 2017-07-12)


  • The way to call the functions has been redesigned and whole new system of S3 functions has been implemented. There are now new concise functions for plotting and printing. Refer to the front page on the github.com/tomaskrehlik/frequencyConnectedness

frequencyConnectedness v0.1.6 (Release date: 2017-06-09)


  • The BK and DY spillovers did not sum to the same values for cases when the parameter table = F. Added test case for this.

Reference manual

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0.2.0 by Tomas Krehlik, 2 months ago


Report a bug at https://github.com/tomaskrehlik/frequencyConnectedness/issues

Browse source code at https://github.com/cran/frequencyConnectedness

Authors: Tomas Krehlik [aut, cre]

Documentation:   PDF Manual  

GPL-2 license

Imports methods

Depends on vars, urca, knitr, pbapply

Suggests testthat, stringr, mAr, reshape2, ggplot2, parallel, zoo, BigVAR

See at CRAN