cov_mazi: Inner function for computing covariance
In raphael210/QDataGet: Data getting functionns
Description
This function is a inner function to compute the Newey-west adjusted covariance matrix.
Usage
1
Arguments
f_mat
a matrix. factor return matrix. The matrix must not include date column, each column in f_mat is a factor return series.
tau
integer number. The half-life parameter.
lag
integer number. The Newey-west parameter.
raphael210/QDataGet documentation built on May 26, 2019, 11:02 p.m.
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Description
This function is a inner function to compute the Newey-west adjusted covariance matrix.
Usage
1 |
Arguments
f_mat |
a matrix. factor return matrix. The matrix must not include date column, each column in f_mat is a factor return series. |
tau |
integer number. The half-life parameter. |
lag |
integer number. The Newey-west parameter. |
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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