volatilities

The dataset includes median realised volatilities of some financial indices

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

volatilities 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

Volatilities from Ox Man Institute — volatilities

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

volatilities: Volatilities from Ox Man Institute

Description

Arguments

Author