mertonMixtureDecision: Merton vs Mixture likelihood ratio test

In shill1729/trader: Mathematical finance analysis package

Merton vs Mixture likelihood ratio test

Description

Run a likelihood ratio test to reject one of the Merton or mixture model against the empirical density.

Usage

mertonMixtureDecision(
  logReturns,
  fits,
  spot,
  rate = 0,
  symbol = "",
  plotDensities = TRUE
)

Arguments

logReturns	time-series of daily log returns
fits	named list of merton parameters (vector) and mixture parameters (matrix)
spot	the current price
rate	the discounting rate
symbol	relevant stock symbol name
plotDensities	boolean for plotting

Value

list

shill1729/trader documentation built on Dec. 27, 2022, 10:55 p.m.