KCOrtho: Orthogonalize a set of factors with respect to all other...
In gtog/dMisc: A Collection of Helper Functions for Doing Financial Data Analysis
Description
Usage
Arguments
Details
Value
Description
This is an implementation of Klien and Chow (2014?) "Orthogonalized Equity
Risk Premia and Systematic Risk Decomposition."
Original code by Greg Murphy, 2016.
Usage
1
KCOrtho(factors)
Arguments
factors
an xts object containing a time series of independent variables.
Details
This function will return a matrix of factors that have been completed
orthogonalized with respect to every other factor in the set while still
preserving the orginal sizes of the variances. This is helpful in producing
better factor models that have senisble coefficients. Orthogonalizing the
brute force way will yield very tiny variances in the resultant factor set
and leave you with massive coefficients in your model. This routine nicely
solves this problem.
Value
an xts object of factors that have been orthogonalized with respect to
all of the other factors in the set.
gtog/dMisc documentation built on May 17, 2019, 8:57 a.m.
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.
Description Usage Arguments Details Value
Description
This is an implementation of Klien and Chow (2014?) "Orthogonalized Equity Risk Premia and Systematic Risk Decomposition." Original code by Greg Murphy, 2016.
Usage
1 | KCOrtho(factors)
|
Arguments
factors |
an xts object containing a time series of independent variables. |
Details
This function will return a matrix of factors that have been completed orthogonalized with respect to every other factor in the set while still preserving the orginal sizes of the variances. This is helpful in producing better factor models that have senisble coefficients. Orthogonalizing the brute force way will yield very tiny variances in the resultant factor set and leave you with massive coefficients in your model. This routine nicely solves this problem.
Value
an xts object of factors that have been orthogonalized with respect to all of the other factors in the set.
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.