sdAutoCor: Calculate an approximate standard deviation of returns that...
In gtog/dMisc: A Collection of Helper Functions for Doing Financial Data Analysis
Description
Usage
Arguments
Details
Value
Description
This function is an implementation of the calculations found in
Kinlaw, Kritzman, and Turkington have who published two companion papers
called <e2><80><9c>The Divergence of High- and Low-Frequency Esitmation: Causes and
Consequences<e2><80><9d> and "The Divergence of High- and Low-Frequency Esitmation:
Implications for Performance Measurement."
Usage
1
sdAutoCor(x, L = 12)
Arguments
x
an xts object containing a time series of asset returns.
L
the maximum number of lags to consider. Default is 12.
Details
The function returns a set of calculations:
1. The no-auto-correlation adjusted standard deviation sigma*sqrt(t)
2. The auto-correlation adjusted measure : sigma*(sqrt(t) + cors)
3. The difference between the two measures.
4. The ratio of the two measures.
Value
a list of four calculations described above.
gtog/dMisc documentation built on May 17, 2019, 8:57 a.m.
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Description Usage Arguments Details Value
Description
This function is an implementation of the calculations found in Kinlaw, Kritzman, and Turkington have who published two companion papers called <e2><80><9c>The Divergence of High- and Low-Frequency Esitmation: Causes and Consequences<e2><80><9d> and "The Divergence of High- and Low-Frequency Esitmation: Implications for Performance Measurement."
Usage
1 | sdAutoCor(x, L = 12)
|
Arguments
x |
an xts object containing a time series of asset returns. |
L |
the maximum number of lags to consider. Default is 12. |
Details
The function returns a set of calculations:
1. The no-auto-correlation adjusted standard deviation sigma*sqrt(t)
2. The auto-correlation adjusted measure : sigma*(sqrt(t) + cors)
3. The difference between the two measures.
4. The ratio of the two measures.
Value
a list of four calculations described above.
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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