apt 2.5

Asymmetric Price Transmission

Released Feb 25, 2016 by Changyou Sun

This package cannot yet be used with Renjin it depends on other packages which are not available: car 2.1-1, gWidgets 0.0-54, and copula 0.999-14


gWidgets 0.0-54 car 2.1-1 copula 0.999-14 urca 1.2-9 erer 2.5

Asymmetric price transmission between two time series is assessed. Several functions are available for linear and nonlinear threshold cointegration, and furthermore, symmetric and asymmetric error correction model. A graphical user interface is also included for major functions included in the package, so users can also use these functions in a more intuitive way.



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