filteredCovMat: Function used to filter the covariance matrix of a series of...

In zlfccnu/econophysics: Functions for econophysics

Description

Function used to filter the covariance matrix of a series of return time series

Usage

filteredCovMat(returns, bulk = FALSE)

Arguments

returns	the N*L dimensional matrix with return time series for each stock per column
bulk	whether use the bulk eigenvalues to construct the correlation matrix or not

Value

a list with corMat and covMat

References

Random matrix approach to cross correlations in financial data

zlfccnu/econophysics documentation built on Feb. 23, 2022, 10:22 p.m.