bootCov: Bootstrap Covariance

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

Description

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

Usage

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

Arguments

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

Author(s)

Ross Bennett

See Also

cov

Examples

data(crsp_weekly)
R <- largecap_weekly[,1:4]
bootCov(R[,1:2])
bootCov(R)

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