Description Usage Arguments Author(s) References Examples
Estimates VaR plot using principal components analysis
1 | PCAPrelim(Ra)
|
Ra |
Matrix return data set where each row is interpreted as a set of daily observations, and each column as the returns to each position in a portfolio position |
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 3 4 5 6 |
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