Adjust.thin | R Documentation |
The adjustment based on AR(1) fitting as proposed by Miller et al. (1994)
Adjust.thin(y)
y |
financial return time series |
Adjusted return
Jae H. Kim
Miller et al. (1994), Mean Reversion of Standard & Poor's 500 Index Base Changes: Arbitrage Induced or Statistical Illusion Journal of Finance, XLIX, 479-513.
data(exrates)
y <- exrates$ca
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])
Adjust.thin(r)
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