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
Config/pak/sysreqs: libglpk-dev libxml2-dev
Repository: https://avishekb9.r-universe.dev
Date/Publication: 2026-05-10 17:05:40 UTC
RemoteUrl: https://github.com/avishekb9/contagionchannels
RemoteRef: HEAD
RemoteSha: 1b8bd0d9845735a6768d845ced6800a0250b1f1d
NeedsCompilation: no
Packaged: 2026-07-09 06:27:12 UTC; root
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>