covar_weight: Covariance matrix and volatilities using weighted averages.

View source: R/covar_weight.R

covar_weightR Documentation

Covariance matrix and volatilities using weighted averages.

Description

Estimates de covariance using weighted averages of products of past returns.

Usage

covar_weight(series, weights, horizon)

Arguments

series

data frame with return series.

weights

Weights. It can be a declining function of time.

horizon

Horizon

Value

Covariance matrix and volatility of each variable.


veldanie/SuraInvestmentAnalytics documentation built on Sept. 17, 2024, 6:49 p.m.