fix_frtn_cov2: COV FIX FUNCTION FOR BIAS ADJUSTMENT
In raphael210/QDataGet: Data getting functionns
Description
The function is aimed for bias adjustment for covariance matrix.
Usage
1
2
fix_frtn_cov2(cov_list, frtn_seri, barra_param, result_type = c("cov",
"bias"))
Arguments
cov_list
A list. Each element in the list is a covariance matrix.
frtn_seri
data table input. The factor return data table. The first column is date and each of the rest columns is a risk factor return series. The data is in day frequency.
result_type
"cov" or "bias".
If "cov", the output would be the cov_list after fixation.
If "bias", the output would be the bias recording for fixation.
raphael210/QDataGet documentation built on May 26, 2019, 11:02 p.m.
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Description
The function is aimed for bias adjustment for covariance matrix.
Usage
1 2 | fix_frtn_cov2(cov_list, frtn_seri, barra_param, result_type = c("cov",
"bias"))
|
Arguments
cov_list |
A list. Each element in the list is a covariance matrix. |
frtn_seri |
data table input. The factor return data table. The first column is date and each of the rest columns is a risk factor return series. The data is in day frequency. |
result_type |
"cov" or "bias". If "cov", the output would be the cov_list after fixation. If "bias", the output would be the bias recording for fixation. |
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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