Package W2CWM2C: description, features and applications

Abstract

This article describes new graphical tools that help with the interpretation of wavelet correlation and cross-correlation analysis, in both bivariate and multivariate cases. We have created an R package called W2CWM2C with the following main functions: Wavelet (Cross) Correlation and Wavelet Multiple (Cross) Correlation. To illustrate its strengths, we use data from several European Union stock market indices, comparing the new graphical output with the classical plots.