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

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

## Documentation for package ‘contagionchannels’ version 0.1.3

- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Package NEWS.

## Help Pages

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