Here are the instructions for Wavelet (MODWT-based) variances,
covariances, correlations, and cross-correlations using R: LINK
To download the manual, dataset and RMarkdown file with the codes, click HERE.
For the details on the dataset, please refer to this article:
Nagayev, R., Disli, M., Inghelbrecht, K., & Ng, A. (2016).
On the dynamic links between commodities and Islamic equity.
Energy Economics, 58, 125-140.
For the details on the dataset, please refer to this article:
Nagayev, R., Disli, M., Inghelbrecht, K., & Ng, A. (2016).
On the dynamic links between commodities and Islamic equity.
Energy Economics, 58, 125-140.
All the best!
Regards,
Ibn Abdullah
