absorp_ratio: Calculate absorption ratio
In alejandro-sotolongo/InvestmentSuite: Investment Asset and Portfolio Time-Series Analysis
Description
Usage
Arguments
Details
View source: R/QuantAnalysis.R
Description
Calculate absorption ratio
Usage
1
absorp_ratio(cov_mat, n_pc = 2)
Arguments
cov_mat
estimated covariance matrix
n_pc
number of eigenvalues to use for calculation
Details
See roll_absorp_ratio for more details. Also 2010 Kritzman,
et al paper Principal Components as a Measure of Systemic Risk,
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1582687.
alejandro-sotolongo/InvestmentSuite documentation built on Jan. 19, 2020, 5:20 p.m.
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Description Usage Arguments Details
View source: R/QuantAnalysis.R
Description
Calculate absorption ratio
Usage
1 | absorp_ratio(cov_mat, n_pc = 2)
|
Arguments
cov_mat |
estimated covariance matrix |
n_pc |
number of eigenvalues to use for calculation |
Details
See roll_absorp_ratio for more details. Also 2010 Kritzman,
et al paper Principal Components as a Measure of Systemic Risk,
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1582687.
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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