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Calculate Contagion Index

Source: R/contagion_analysis.R
calculate_contagion_index.Rd

Calculate Contagion Index

Usage

calculate_contagion_index(returns_dm, returns_em, tau = 0.05, n.levels = 4)

Arguments

returns_dm

Matrix of developed market returns

returns_em

Matrix of emerging market returns

tau

Quantile level (default: 0.05)

n.levels

Number of wavelet levels (default: 4)

Value

Array containing contagion measures

Examples

if (FALSE) { # \dontrun{
dm_returns <- get_stock_data(c("SPY", "EWU"))
em_returns <- get_stock_data(c("EWZ", "FXI"))
contagion <- calculate_contagion_index(dm_returns, em_returns)
} # }