barra_param_default: PARAMETER DEFAULT FUNCTIONS
In raphael210/QDataGet: Data getting functionns
View source: R/risk01_BARRA_Model.R
Description
PARAMETER DEFAULT FUNCTIONS
Usage
1
Arguments
subset_reg
NULL or sectorIDs vector, supporting more than one sectorID.
If not NULL, regression would only be done within the sectorIDs, but the residuals would cover all the stocks.
h
training windows.
tau
half-life parameter.
lag
lags for Newey-west adjustment.
shrink_q
parameters for Beyasian shrink.
fix_itr_n
parameters for Monte Carlo.
raphael210/QDataGet documentation built on May 26, 2019, 11:02 p.m.
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View source: R/risk01_BARRA_Model.R
Description
PARAMETER DEFAULT FUNCTIONS
Usage
1 |
Arguments
subset_reg |
NULL or sectorIDs vector, supporting more than one sectorID. If not NULL, regression would only be done within the sectorIDs, but the residuals would cover all the stocks. |
h |
training windows. |
tau |
half-life parameter. |
lag |
lags for Newey-west adjustment. |
shrink_q |
parameters for Beyasian shrink. |
fix_itr_n |
parameters for Monte Carlo. |
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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