Robpvc: Robust Principal Volatility Components
In ctruciosm/Robpvc: Robust Principal Volatility Components
Robpvc R Documentation
Robust Principal Volatility Components
Description
Estimates the principal volatility components in a robust way using the procedure of Trucíos et al. (2019)
Usage
Robpvc(rtn, m = 10, c = 0.99)
Arguments
rtn
Matrix of time series data
m
lag parameter, by default m = 10
c
threshold value, by default c = 0.99 (observation with largest 1 percent Mahalanobis distance are considered as extreme observations).
Value
None
References
Trucíos, Carlos, Luiz K. Hotta, and Pedro Valls-Pereira. On the robustness of the principal volatility components. Journal of Empirical Finance 52.1 (2019): 1201-2019.
Examples
Robpvc(toyexampledata)
ctruciosm/Robpvc documentation built on July 27, 2022, 10:22 p.m.
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| Robpvc | R Documentation |
Robust Principal Volatility Components
Description
Estimates the principal volatility components in a robust way using the procedure of Trucíos et al. (2019)
Usage
Robpvc(rtn, m = 10, c = 0.99)
Arguments
rtn |
Matrix of time series data |
m |
lag parameter, by default m = 10 |
c |
threshold value, by default c = 0.99 (observation with largest 1 percent Mahalanobis distance are considered as extreme observations). |
Value
None
References
Trucíos, Carlos, Luiz K. Hotta, and Pedro Valls-Pereira. On the robustness of the principal volatility components. Journal of Empirical Finance 52.1 (2019): 1201-2019.
Examples
Robpvc(toyexampledata)
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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