Calculate Transfer Entropy Matrices by Period

Computes transfer entropy matrices for different time periods and quantiles, enabling analysis of network evolution across crisis phases.

Usage

calculate_te_matrices_by_period(
  returns_data,
  period_breaks,
  quantiles = c(0.1, 0.5, 0.9),
  lag = 1
)

Arguments

returns_data

xts object with financial returns data

period_breaks

Named list defining time period indices

quantiles

Numeric vector of quantile thresholds to analyze

lag

Integer lag for TE calculation

Value

Named list of transfer entropy matrices for each period-quantile combination

Examples

if (FALSE) { # \dontrun{
# Define periods
period_breaks <- list(
  "Pre_Crisis" = 1:100,
  "Crisis" = 101:200,
  "Post_Crisis" = 201:300
)
te_matrices <- calculate_te_matrices_by_period(returns_data, period_breaks)
} # }