exampleSim

The dataset includes three simulated processes with spillover dynamics.

data

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.

Tomas Krehlik

frequencyConnectedness

Spectral Decomposition of Connectedness Measures

exampleSim function

Tomas Krehlik <a href="/link/tomas.krehlik%40gmail.com?package=frequencyConnectedness&version=0.2.4" data-mini-rdoc="frequencyConnectedness::tomas.krehlik@gmail.com">tomas.krehlik@gmail.com</a>

Author

The simulated time-series — exampleSim

Tomas Krehlik <a href='mailto:tomas.krehlik@gmail.com'>tomas.krehlik@gmail.com</a>

exampleSim: The simulated time-series

Description

Arguments

Author