get_frtn_cov_single: COV COMPUTE FUNCTION FOR SINGLE PERIOD
In raphael210/QDataGet: Data getting functionns
Description
Usage
Arguments
Value
Description
The function only works for computing one single covariance matrix.
Usage
1
get_frtn_cov_single(F_mat, barra_param)
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.
Value
a matrix. The ONE DAY forward covariance matrix on the specific rebDate.
raphael210/QDataGet documentation built on May 26, 2019, 11:02 p.m.
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Description Usage Arguments Value
Description
The function only works for computing one single covariance matrix.
Usage
1 | get_frtn_cov_single(F_mat, barra_param)
|
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. |
Value
a matrix. The ONE DAY forward covariance matrix on the specific rebDate.
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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