Wavelet Coherence using R

Here you can view instructions for Wavelet Coherence (CWT-based) using R:

http://rpubs.com/ibn_abdullah/rwcoher

Here is the zip file with the manual, dataset and RMarkdown document:

Download

You can refer to this article for the details on the dataset and methodology:

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!

Best regards,

Ibn Abdullah

Wavelet Variances, Covariances, Correlations, and Cross-Correlations

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.

All the best!

Regards,

Ibn Abdullah

Wavelet Coherence using Matlab

1. Import your data: as column vectors --> OK,

2. Download WTC (wavelet coherence) package and unzip:
http://noc.ac.uk/using-science/crosswavelet-wavelet-coherence