fun_tstats_allModels: fun_tstats_allModels

In 3schwartz/SpecialeScrAndFun: Script and functions used for master thesis.

Description

For each of the element in list a linear regression is made with the element in the list as independent variables. A table of t-statistics is return and the maximum VIF value within each model

Usage

fun_tstats_allModels(list = list(BTC = BTC.daily, ETH = ETH.daily, XRP =
  XRP.daily, BCH = BCH.daily), period = c("days", "weeks", "months",
  "quarters", "years"), lag = 12)

Arguments

list	List of daily data with mean and sd in second and third row
period	character vector Period of rebalance
lag	int Number of lags

Value

A list

name name	description Name n which one can se periodicity and lag of object
name Sharpe	description Table of t-statistics is return and the maximum VIF value within each model

3schwartz/SpecialeScrAndFun documentation built on May 4, 2019, 6:29 a.m.