Two-Stage Detection and Attribution of Cross-Border Financial Contagion Channels

Documentation for package ‘contagionchannels’ version 0.1.3

build_channel_composites	Construct the Five-Channel Composites
build_lag	Build a Lagged Vector with Leading NAs
build_network	Construct a Directed Contagion Network from a WQTE Flow Matrix
channel_proxies	Channel-Proxy Daily Series
cinelli_hazlett_rv	Cinelli-Hazlett Robustness Value
compute_wqte_matrix	Wavelet-Quantile Transfer Entropy Matrix
crisis_periods	Crisis Sub-Period Definitions
g20_returns	G20 Equity-Market Daily Log-Returns
iv_2sls_attribute	Five-Channel IV/2SLS Channel Attribution for One Bilateral Link
lasso_iv_attribute	LASSO-Based Instrument Selection IV Attribution (Belloni-Chernozhukov-Hansen)
load_paper_data	Load the Paper's Bundled Data
local_projections	Local-Projection Channel Attribution at Multiple Horizons
modwt_detail	MODWT Wavelet Detail at a Specified Scale
network_summary	Summary Statistics of a Contagion Network
orthogonalise_residual	Orthogonalise One Series Against Another
period_subset	Subset a Returns and Channel Panel by Period
plot_attribution_evolution	Evolution-of-Shares Line Plot
plot_attribution_stack	Stacked Bar Plot of Channel-Attribution Shares
plot_qte_intensity	Two-Panel QTE Intensity Plot
plot_robustness_value	Robustness-Value Heatmap
qte_pair	Pairwise Wavelet-Quantile Transfer Entropy
rigobon_id	Heteroskedasticity-Based Identification (Rigobon 2003)
run_contagion_pipeline	End-to-End Contagion-Channel Pipeline
walktrap_communities	Walktrap Community Detection on a Contagion Network
zscore	Z-score Standardisation