Man pages for voigtstefan/btap
Computation of marginal likelihoods to compare asset pricing models

comb_mnFind all combinations of n binaries with up to m true values
data_input_wrapperWrapper functions to generate input required for all model...
efficient_portfolioEfficient portfolio weights (Mean-Variance approach)
factor_permutationCreates every possible permutation of all factors and...
ffFactor returns
filename_modelFilename model Helper function which returns a file name...
gibbs_samplerGibbs sampler
hypothetical_sample_sizeHypothetical sample size (Kandel, Stambaugh 1996)
hypothetical_sample_size_pastorHypothetical sample size (Pastor)
logdetLog of the determinant of a matrix
mgammaCompute value of multivariate gamma function
mlikeli_hypotheticalMarginal likelihood of model with hypothetical sample
mlikeli_predictive_regression(Log) Marginal likelihood of the predictive regression
posterior_momentsPosterior moments of asset pricing model
QUtility function: Q (Sum of squared errors matrices)
RTest asset excess returns
read_valueshelper function which allows to create models defining...
SCompute sum of squared errors
tp_weightsTangency portfolio
ZPredictive variables
voigtstefan/btap documentation built on May 17, 2018, 11:17 a.m.