by Jozef Barunik and Lubos Hanus
July 2019
First, we need to install packages
install.packages(c("ggplot2","igraph","tseries", "forecast","vars","mAr","MASS","lmtest",
"lmtest","devtools","data.table","BigVAR","fastVAR"),dependencies=TRUE)
library(devtools)
install.packages("FinTS", repos="http://R-Forge.R-project.org")
install_github("tomaskrehlik/frequencyConnectedness", tag = "0.1.6")
install_github("jeffwong/fastVAR")