Clock of Regimes for Regime-Switching Fragility Analysis

Implements the Clock of Regimes (KRONX) framework for regime-switching fragility analysis of financial time series. The package fits Gaussian and Student-t Hidden Markov Models (HMMs) to return data, constructs a hazard-adjusted transition operator Q, derives the associated generator K = Q - I, and computes the fundamental matrix N = -K inverse to characterize expected residence times under structural fragility.


Reference manual

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install.packages("KRONX")

0.1.0 by Oscar Linares, 6 months ago


Browse source code at https://github.com/cran/KRONX


Authors: Oscar Linares [aut, cre]


Documentation:   PDF Manual  


GPL (>= 3) license


Imports stats, utils

Suggests testthat, knitr, rmarkdown


See at CRAN