fun_tstats_allModels_v2: fun_tstats_allModels_v2

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_v2(inputList = listExcess, period = c("days",
  "weeks", "months", "quarters", "years"), lag = 6)

Arguments

period	character vector Period of rebalance
lag	int Number of lags
list	List of daily data excess, excess vol adjusted and sigma

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.