{ "_id": "6a105d75acfb0bcc41ca4aff", "Package": "contagionchannels", "Type": "Package", "Title": "Two-Stage Detection and Attribution of Cross-Border Financial\nContagion Channels", "Version": "0.1.3", "Date": "2026-04-30", "Authors@R": "c(\nperson(given = \"Avishek\", family = \"Bhandari\", role = c(\"aut\",\"cre\"),\nemail = \"avishekb@iitbbs.ac.in\",\ncomment = \"Indian Institute of Technology Bhubaneswar\"),\nperson(given = \"Ipsita\", family = \"Parida\", role = \"aut\",\nemail = \"a23hs09014@iitbbs.ac.in\",\ncomment = \"Indian Institute of Technology Bhubaneswar\"),\nperson(given = \"Hitesh Kumar\", family = \"Sahu\", role = \"aut\",\nemail = \"a23hs09012@iitbbs.ac.in\",\ncomment = \"Indian Institute of Technology Bhubaneswar\"))", "Description": "Implementation of a two-stage framework for the joint\ndetection-and-attribution of cross-border financial contagion.\nStage one detects directional information flows between equity\nmarkets via Wavelet-Quantile Transfer Entropy, combining\nmaximal-overlap discrete wavelet decomposition (Percival and\nWalden, 2000, ISBN:9780521685085) with the transfer-entropy\nestimator of Schreiber (2000) \nand quantile conditioning following Han, Linton, Oka and Whang\n(2016) . Stage two\nattributes each significant directional link to one of five\nmutually exclusive transmission channels (Trade, Financial,\nGeopolitical, Behavioural, Monetary Policy) through a\nmulti-method structural identification architecture combining\ninstrumental-variables two-stage least squares with\nchannel-specific external instruments (Stock and Watson, 2018)\n, LASSO-based instrument selection\n(Belloni, Chernozhukov and Hansen, 2014)\n, local projections (Jorda, 2005)\n, heteroskedasticity-based\nidentification (Rigobon, 2003)\n, and the Cinelli-Hazlett\n(2020) robustness-value sensitivity\nbound. Bundled datasets and replication scripts reproduce the\nheadline findings of Bhandari, Parida and Sahu (2026)\n; the package is general-purpose\nand accommodates user-supplied returns and channel proxies.", "License": "GPL-3", "Encoding": "UTF-8", "LazyData": "true", "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": { "Date": "2026-05-08 17:16:58 UTC", "User": "root" }, "Author": "Avishek Bhandari [aut, cre] (Indian Institute of Technology\nBhubaneswar), Ipsita Parida [aut] (Indian Institute of\nTechnology Bhubaneswar), Hitesh Kumar Sahu [aut] (Indian\nInstitute of Technology Bhubaneswar)", "Maintainer": "Avishek Bhandari ", "Repository": "https://cran.r-universe.dev", "Date/Publication": "2026-05-08 15:55:36 UTC", "RemoteUrl": "https://github.com/cran/contagionchannels", "RemoteRef": 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