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.

Version: 0.2.4
Depends: vars, urca, knitr, pbapply
Imports: methods
Suggests: testthat, stringr, mAr, reshape2, ggplot2, parallel, zoo, BigVAR
Published: 2023-02-24
DOI: 10.32614/CRAN.package.frequencyConnectedness
Author: Tomas Krehlik [aut, cre]
Maintainer: Tomas Krehlik <tomas.krehlik at>
License: GPL-2
NeedsCompilation: no
Materials: NEWS
CRAN checks: frequencyConnectedness results


Reference manual: frequencyConnectedness.pdf


Package source: frequencyConnectedness_0.2.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): frequencyConnectedness_0.2.4.tgz, r-oldrel (arm64): frequencyConnectedness_0.2.4.tgz, r-release (x86_64): frequencyConnectedness_0.2.4.tgz, r-oldrel (x86_64): frequencyConnectedness_0.2.4.tgz
Old sources: frequencyConnectedness archive

Reverse dependencies:

Reverse imports: ConnectednessApproach


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