DynamicCOR: <DynamicCOR>
In rickycant90/BMLgarch: Econometric and Mathematic tools for market analysis and portfolio optimization.
Description
<Starting from OGARCH fitted values, computes a matrix time series object (a list) containing dynamic correlation matrices>
Usage
1
DynamicCOR(htfactors, rotated)
Arguments
htfactors
a matrix containing the fitted conditional variance values of factors, estimated with PCA.
rotated
Matrix of the eigenvectors for each selected factor.
rickycant90/BMLgarch documentation built on May 23, 2019, 10:36 p.m.
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Description
<Starting from OGARCH fitted values, computes a matrix time series object (a list) containing dynamic correlation matrices>
Usage
1 | DynamicCOR(htfactors, rotated)
|
Arguments
htfactors |
a matrix containing the fitted conditional variance values of factors, estimated with PCA. |
rotated |
Matrix of the eigenvectors for each selected factor. |
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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