monitor-stability: Monitoring Stability

Description Usage Arguments References

Description

Functions for time series aggregation, converting a time series from a daily to a monthly or weekly base.

Usage

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stabilityAnalytics(index, method=c("turns", "drawdowns", "garch", 
    "riskmetrics", "bcp", "pcout"), ...)
    
turnsAnalytics(index, spar=0.5, main=NULL, 
    trace=TRUE, doplot=TRUE, at=pretty(index), format="%m/%y")
drawdownsAnalytics(index, spar=0.5, main=NULL, 
    trace=TRUE, doplot=TRUE, at=pretty(index), format="%m/%y")
garchAnalytics(index, spar = 0.5, main=NULL, 
    trace=TRUE, doplot=TRUE, at=pretty(index), format="%m/%y")    
riskmetricsAnalytics(index, spar=0.5, lambda=0.9, main=NULL, 
    trace=TRUE, doplot=TRUE, at=pretty(index), format="%m/%y")
bcpAnalytics(index, spar=0.5, FUN=returns, method=c("prob", "mean", "var"),
    main=NULL, trace=TRUE, doplot=TRUE, at=pretty(index), format="%m/%y")    
pcoutAnalytics(index, spar=0.5, main=NULL, trace=TRUE, doplot=TRUE, 
    at=pretty(index), format="%m/%y", strong=TRUE, k=2, cs=0.25, outbound=0.25)     
    
addRainbow(analytics, palette=rainbow, a=0.3, b=0.8, K=100)    

waveletSpectrum(index, spar=0.5, main=NULL, trace=TRUE, doplot=TRUE, 
  at=pretty(index), format="%m/%y")
  
parAnalytics()

Arguments

index

an object of class 'timeSeries'

method

name of selected analytics

analytics

analytics object

...

optional arguments

spar

0.5

main

""

trace

TRUE

doplot

TRUE

at

pretty()

format

"%m/%y"

lambda

riskmetricsAnalytics

bcp

bcpAnalytics

FUN,strong,k,cs,outbound

pcoutAnalytics

palette,a,b,K

addRainbow

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.


fPortfolio documentation built on March 26, 2020, 9:17 p.m.