CRAN
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: copula 0.999-18 and car 3.0-1
Dependencies
copula 0.999-18 car 3.0-1 erer 2.5 urca 1.3-0 gWidgets 0.0-54
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.