Package: contagionchannels
Type: Package
Title: Two-Stage Detection and Attribution of Cross-Border Financial
        Contagion Channels
Version: 0.1.3
Date: 2026-04-30
Authors@R: c(
    person(given = "Avishek", family = "Bhandari", role = c("aut","cre"),
           email = "avishekb@iitbbs.ac.in",
           comment = "Indian Institute of Technology Bhubaneswar"),
    person(given = "Ipsita", family = "Parida", role = "aut",
           email = "a23hs09014@iitbbs.ac.in",
           comment = "Indian Institute of Technology Bhubaneswar"),
    person(given = "Hitesh Kumar", family = "Sahu", role = "aut",
           email = "a23hs09012@iitbbs.ac.in",
           comment = "Indian Institute of Technology Bhubaneswar"))
Description: Implementation of a two-stage framework for the joint
    detection-and-attribution of cross-border financial contagion. Stage
    one detects directional information flows between equity markets via
    Wavelet-Quantile Transfer Entropy, combining maximal-overlap discrete
    wavelet decomposition (Percival and Walden, 2000, ISBN:9780521685085)
    with the transfer-entropy estimator of Schreiber (2000)
    <doi:10.1103/PhysRevLett.85.461> and quantile conditioning following
    Han, Linton, Oka and Whang (2016) <doi:10.1016/j.jeconom.2016.03.001>.
    Stage two attributes each significant directional link to one of five
    mutually exclusive transmission channels (Trade, Financial,
    Geopolitical, Behavioural, Monetary Policy) through a multi-method
    structural identification architecture combining instrumental-variables
    two-stage least squares with channel-specific external instruments
    (Stock and Watson, 2018) <doi:10.1111/ecoj.12593>, LASSO-based
    instrument selection (Belloni, Chernozhukov and Hansen, 2014)
    <doi:10.1093/restud/rdt044>, local projections (Jorda, 2005)
    <doi:10.1257/0002828053828518>, heteroskedasticity-based identification
    (Rigobon, 2003) <doi:10.1162/003465303772815727>, and the
    Cinelli-Hazlett (2020) <doi:10.1111/rssb.12348> robustness-value
    sensitivity bound. Bundled datasets and replication scripts reproduce
    the headline findings of Bhandari, Parida and Sahu (2026)
    <doi:10.48550/arXiv.2604.26546>; the package is general-purpose and
    accommodates user-supplied returns and channel proxies.
License: GPL-3
Encoding: UTF-8
LazyData: true
Depends: R (>= 4.1.0)
Imports: xts, zoo, waveslim, quantreg, igraph, parallel, MASS, stats,
        utils
Suggests: hdm, glmnet, ggplot2, dplyr, tidyr, patchwork, RColorBrewer,
        viridis, scales, readxl, knitr, rmarkdown, testthat (>= 3.0.0)
VignetteBuilder: knitr
RoxygenNote: 7.3.3
URL: https://github.com/avishekb9/contagionchannels
BugReports: https://github.com/avishekb9/contagionchannels/issues
Config/testthat/edition: 3
NeedsCompilation: no
Packaged: 2026-05-05 14:13:57 UTC; ecolex
Author: Avishek Bhandari [aut, cre] (Indian Institute of Technology
    Bhubaneswar),
  Ipsita Parida [aut] (Indian Institute of Technology Bhubaneswar),
  Hitesh Kumar Sahu [aut] (Indian Institute of Technology Bhubaneswar)
Maintainer: Avishek Bhandari <avishekb@iitbbs.ac.in>
Repository: CRAN
Date/Publication: 2026-05-08 15:10:09 UTC
Built: R 4.5.2; ; 2026-05-08 15:43:08 UTC; unix
