bootCor: Bootstrap Correlation

In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description

Bootstrap the correlation of an xts object or matrix of asset returns

Usage

bootCor(R, ..., replications = 1000)

Arguments

R	xts object or matrix of asset returns
replications	number of bootstrap replications.
...	passthrough parameters to cor

Author(s)

Ross Bennett

See Also

cor

Examples

data(crsp_weekly)
R <- largecap_weekly[,1:4]
bootCor(R[,1:2])
bootCor(R[,1:2], method="kendall")
bootCor(R)

GARPFRM documentation built on May 2, 2019, 5:45 p.m.