VarianceTest: Variance Test
In ConnectednessApproach: Connectedness Approach

VarianceTest

R Documentation

Variance Test

Description

VarianceTest performs variance homogeneity tests including Ftest, Bartlett, Brown-Forsythe and Fligner-Killeen tests.

Usage

VarianceTest(
  formula,
  data,
  alpha = 0.05,
  method = c("Bartlett", "Brown-Forsythe", "Fligner-Killeen", "Fisher", "Levene"),
  na.rm = TRUE
)

Arguments

`formula`	a formula of the form lhs ~ rhs where lhs gives the sample values and rhs the corresponding groups.
`data`	a tibble or data frame containing the variables in the formula formula
`alpha`	the level of significance to assess variance homogeneity. Default is set to alpha = 0.05.
`method`	a character string to select one of the variance homogeneity tests: "Bartlett", "Brown-Forsythe", "Fisher" and "Fligner-Killeen".
`na.rm`	Ha logical value indicating whether NA values should be stripped before the computation proceeds.

Value

Get bivariate portfolio weights

Author(s)

David Gabauer

References

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.

ConnectednessApproach documentation built on June 22, 2024, 10:22 a.m.