UncertaintyMeasure: Uncertainty measure of Variance Estimator This function...

In kecoli/PCRM: Companion to Portfolio Construction and Risk Management

Uncertainty measure of Variance Estimator This function returns the standard error of the three estimator of Variance.

Description

Uncertainty measure of Variance Estimator This function returns the standard error of the three estimator of Variance.

Usage

var.se(R, methods = c("normal", "non-normal", "bootstrap"))

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
methods	the estimation methods for Variance estimator, default is normal

Author(s)

Douglass Martin, Kirk Li

References

TBA

Examples

data(edhec)
var.se(edhec[,1],methods="normal")

kecoli/PCRM documentation built on May 7, 2022, 9:33 a.m.