cov_ewma: Exponentially Weighted Moving Average (EWMA) Covariance...
In Reckziegel/PortfolioMoments: Functions to be used in conjuction with PortfolioAnalytics
Description
Usage
Arguments
Value
Author(s)
References
Examples
Description
This functions implements the covariance matrix as described in Longerstaey & Spencer (1996).
Usage
1
cov_ewma(R, lambda = 0.96)
Arguments
R
A vector, matrix, data.frame, xts, timeSeries or zoo object to be checked and coerced.
lambda
A number between 0 and 1.
Value
A variance-covariance matrix.
Author(s)
Bernardo Reckziegel
References
Longerstaey, Jacques, and Martin Spencer. Riskmetrics technical document. Morgan Guaranty Trust Company of New York: New York 51 (1996): 54.
Examples
1
Reckziegel/PortfolioMoments documentation built on May 29, 2019, 1:21 p.m.
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Description Usage Arguments Value Author(s) References Examples
Description
This functions implements the covariance matrix as described in Longerstaey & Spencer (1996).
Usage
1 | cov_ewma(R, lambda = 0.96)
|
Arguments
R |
A vector, matrix, data.frame, xts, timeSeries or zoo object to be checked and coerced. |
lambda |
A number between 0 and 1. |
Value
A variance-covariance matrix.
Author(s)
Bernardo Reckziegel
References
Longerstaey, Jacques, and Martin Spencer. Riskmetrics technical document. Morgan Guaranty Trust Company of New York: New York 51 (1996): 54.
Examples
1 |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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