fun_GetVolAdReturn: fun_GetVolAdReturn
In 3schwartz/SpecialeScrAndFun: Script and functions used for master thesis.
Description
Usage
Arguments
Value
Description
fun_GetVolAdReturn
Usage
1
Arguments
df
Dataframe with columns price, mean and sd
lag
number of lags between period
Value
Dataframe with columns price, mean, sd, reVol, reVolLag and reSingLag. reVol is return divided by last period sd. reVolLag the same as but lagged the specified number of times and reSingLag is the sing of the lag.
3schwartz/SpecialeScrAndFun documentation built on May 4, 2019, 6:29 a.m.
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Description Usage Arguments Value
Description
fun_GetVolAdReturn
Usage
1 |
Arguments
df |
Dataframe with columns price, mean and sd |
lag |
number of lags between period |
Value
Dataframe with columns price, mean, sd, reVol, reVolLag and reSingLag. reVol is return divided by last period sd. reVolLag the same as but lagged the specified number of times and reSingLag is the sing of the lag.
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