Calculate Dynamic Contagion Index

Calculate Dynamic Contagion Index

Usage

calculate_dynamic_contagion(
  returns_dm,
  returns_em,
  window_size = 252,
  tau = 0.05
)

Arguments

returns_dm

Matrix of developed market returns

returns_em

Matrix of emerging market returns

window_size

Rolling window size (default: 252)

tau

Quantile level (default: 0.05)

Value

Matrix of dynamic contagion indices

Examples

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