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# CITATION file created with {cffr} R package
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cff-version: 1.2.0
message: 'To cite package "contagionchannels" in publications use:'
type: software
license: GPL-3.0-only
title: 'contagionchannels: Two-Stage Detection and Attribution of Cross-Border Financial
  Contagion Channels'
version: 0.1.3
abstract: 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) <https://doi.org/10.1103/PhysRevLett.85.461>
  and quantile conditioning following Han, Linton, Oka and Whang (2016) <https://doi.org/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) <https://doi.org/10.1111/ecoj.12593>, LASSO-based instrument selection (Belloni,
  Chernozhukov and Hansen, 2014) <https://doi.org/10.1093/restud/rdt044>, local projections
  (Jorda, 2005) <https://doi.org/10.1257/0002828053828518>, heteroskedasticity-based
  identification (Rigobon, 2003) <https://doi.org/10.1162/003465303772815727>, and
  the Cinelli-Hazlett (2020) <https://doi.org/10.1111/rssb.12348> robustness-value
  sensitivity bound. Bundled datasets and replication scripts reproduce the headline
  findings of Bhandari, Parida and Sahu (2026) <https://doi.org/10.48550/arXiv.2604.26546>;
  the package is general-purpose and accommodates user-supplied returns and channel
  proxies.
authors:
- family-names: Bhandari
  given-names: Avishek
  email: avishekb@iitbbs.ac.in
- family-names: Parida
  given-names: Ipsita
  email: a23hs09014@iitbbs.ac.in
- family-names: Sahu
  given-names: Hitesh Kumar
  email: a23hs09012@iitbbs.ac.in
preferred-citation:
  type: manual
  title: 'contagionchannels: Two-Stage Detection and Attribution of Cross-Border Financial
    Contagion Channels'
  authors:
  - family-names: Bhandari
    given-names: Avishek
    email: avishekb@iitbbs.ac.in
  - family-names: Parida
    given-names: Ipsita
    email: a23hs09014@iitbbs.ac.in
  - family-names: Sahu
    given-names: Hitesh Kumar
    email: a23hs09012@iitbbs.ac.in
  year: '2026'
  notes: R package version 0.1.3
  url: https://github.com/avishekb9/contagionchannels
repository: https://cran.r-universe.dev
repository-code: https://github.com/avishekb9/contagionchannels
commit: 6ca35bfbde678b5be3f3be7aa4cc6829bd9d380f
url: https://github.com/avishekb9/contagionchannels
date-released: '2026-04-30'
contact:
- family-names: Bhandari
  given-names: Avishek
  email: avishekb@iitbbs.ac.in
references:
- type: generic
  title: What Drives Contagion? Identifying and Attributing Cross-Border Transmission
    Mechanisms
  authors:
  - family-names: Bhandari
    given-names: Avishek
  - family-names: Parida
    given-names: Ipsita
  - family-names: Sahu
    given-names: Hitesh Kumar
  year: '2026'
  doi: 10.48550/arXiv.2604.26546
  url: https://arxiv.org/abs/2604.26546