BivariatePortfolio: Kroner and Ng (1998) optimal bivariate portfolio weights

In ConnectednessApproach: Connectedness Approach

Kroner and Ng (1998) optimal bivariate portfolio weights

Description

This function calculates the optimal portfolio weights according to Kroner and Ng (1998)

Usage

BivariatePortfolio(
  x,
  H,
  method = c("cumsum", "cumprod"),
  long = TRUE,
  statistics = c("Fisher", "Bartlett", "Fligner-Killeen", "Levene", "Brown-Forsythe"),
  digit = 2
)

Arguments

x	zoo return matrix (in percentage)
H	Residual variance-covariance, correlation or pairwise connectedness matrix
method	Cumulative sum or cumulative product
long	Allow only long portfolio position
statistics	Hedging effectiveness statistic
digit	Number of decimal places

Value

Get bivariate portfolio weights

Author(s)

David Gabauer

References

Kroner, K. F., & Ng, V. K. (1998). Modeling asymmetric comovements of asset returns. The Review of Financial Studies, 11(4), 817-844.

Ederington, L. H. (1979). The hedging performance of the new futures markets. The Journal of Finance, 34(1), 157-170.

Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., & de Gracia, F. P. (2020). Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness. Energy Economics, 91, 104762.

Examples

data("g2020")
fit = VAR(g2020, configuration=list(nlag=1))
bpw = BivariatePortfolio(g2020, fit$Q, method="cumsum", statistics="Fisher")
bpw$TABLE

ConnectednessApproach documentation built on Aug. 31, 2022, 5:05 p.m.