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.


Reference manual

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0.1.6 by Tomas Krehlik, 6 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

Depends on vars, urca

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

See at CRAN