hac_infer: HAC Test for Variance and Sharpe ratio

In antshi/auxPort: Auxiliary functions for portfolio optimization

Description

Performs a HAC test for differences in the variances or Sharpe ratios of return time series

Usage

hac_infer(rets, digits = 3, type = "Var")

Arguments

rets	an nx2 data matrix with returns. Only two return time series can be compared simultaneously.
digits	an integer, indicating how many digits the respective p-values are to be rounded to. Default value is 3.
type	a character. type="Var" performs the HAC test for variances (default). type="SR" performs the HAC test for Sharpe ratios.

Value

a list

• Variances, the estimated variances for the two return time series.

• Log.Variances, the estimated log variances for the two return time series.

• Difference, the estimated differences between the variances.

• Standard.Errors, the estimated standard errors of the variances (for both the Parzen and the pre-whitened Parzen (pw) kernels).

• p.Values, the estimated p-values for the difference in variances (for both the Parzen and the pre-whitened Parzen (pw) kernels).

Examples

data(sp500_rets)
hac_results_var <- hac_infer(sp500_rets[,c(2,3)])
hac_results_srs <- hac_infer(sp500_rets[,c(2,3)], type="SR")

antshi/auxPort documentation built on Oct. 27, 2020, 1:16 p.m.