stambaugh.est: Implement Stamgaugh Covariance estimate for multiple starting...
In arorar/covmat: Covariance Matrix Estimation
Description
Usage
Arguments
Details
Author(s)
Description
Implement Stamgaugh Covariance estimate for multiple starting dates
Usage
1
stambaugh.est(R, ...)
Arguments
R
xts or matrix of asset returns
...
allows passing additional paramters
Details
This method takes in data as a matrix or an xts object where multiple
time series with different starting dates are merged together. It then
computes a covariance estimator as described in Stambugh (1997). Covariance
estimate can also be robustified
Author(s)
Rohit Arora
arorar/covmat documentation built on May 10, 2019, 1:48 p.m.
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Description Usage Arguments Details Author(s)
Description
Implement Stamgaugh Covariance estimate for multiple starting dates
Usage
1 | stambaugh.est(R, ...)
|
Arguments
R |
xts or matrix of asset returns |
... |
allows passing additional paramters |
Details
This method takes in data as a matrix or an xts object where multiple time series with different starting dates are merged together. It then computes a covariance estimator as described in Stambugh (1997). Covariance estimate can also be robustified
Author(s)
Rohit Arora
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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