covar_weight: Covariance matrix and volatilities using weighted averages.
In veldanie/SuraInvestmentAnalytics: Investment Analytics
covar_weight R 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.
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| covar_weight | R 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.
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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