BetaCoMoments: Functions to calculate systematic or beta co-moments of...

In guillermozbta/portafolio-master: Econometric tools for performance and risk analysis.

Description

calculate higher co-moment betas, or 'systematic' variance, skewness, and kurtosis

Usage

BetaCoVariance(Ra, Rb)

BetaCoSkewness(Ra, Rb, test = FALSE)

BetaCoKurtosis(Ra, Rb)

Arguments

Ra	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rb	an xts, vector, matrix, data frame, timeSeries or zoo object of index, benchmark, or secondary asset returns to compare against
test	condition not implemented yet

Author(s)

Kris Boudt, Peter Carl, Brian Peterson

References

Boudt, Kris, Brian G. Peterson, and Christophe Croux. 2008. Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns. Journal of Risk. Winter.

Martellini, Lionel, and Volker Ziemann. 2007. Improved Forecasts of Higher-Order Comoments and Implications for Portfolio Selection. EDHEC Risk and Asset Management Research Centre working paper.

See Also

CoMoments

Examples

data(managers)

BetaCoVariance(managers[, "HAM2", drop=FALSE], managers[, "SP500 TR", drop=FALSE])
BetaCoSkewness(managers[, "HAM2", drop=FALSE], managers[, "SP500 TR", drop=FALSE])
BetaCoKurtosis(managers[, "HAM2", drop=FALSE], managers[, "SP500 TR", drop=FALSE])
BetaCoKurtosis(managers[,1:6], managers[,8,drop=FALSE])
BetaCoKurtosis(managers[,1:6], managers[,8:7])

guillermozbta/portafolio-master documentation built on May 11, 2019, 7:20 p.m.