estimateLambdaCor: Estimated Lambda
In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager
Description
Usage
Arguments
Details
Author(s)
Examples
Description
Estimate lambda for EWMA correlation estimate
Usage
1
estimateLambdaCor(R, initialWindow = 10, n = 10)
Arguments
R
xts object of asset returns
initialWindow
initial window of observations used in estimating the
initial
n
number of periods used to calculate realized correlation
Details
The optimal value for lambda is calcualted by minimizing the mean squared
error between the estimated correlation and realized correlation.
Author(s)
Ross Bennett
Examples
1
2
3
4
data(crsp_weekly)
R <- largecap_weekly[, 1:2]
initialWindow <- 150
lambda <- estimateLambdaCor(R, initialWindow, n=10)
GARPFRM documentation built on May 2, 2019, 5:45 p.m.
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Description Usage Arguments Details Author(s) Examples
Description
Estimate lambda for EWMA correlation estimate
Usage
1 | estimateLambdaCor(R, initialWindow = 10, n = 10)
|
Arguments
R |
xts object of asset returns |
initialWindow |
initial window of observations used in estimating the initial |
n |
number of periods used to calculate realized correlation |
Details
The optimal value for lambda is calcualted by minimizing the mean squared error between the estimated correlation and realized correlation.
Author(s)
Ross Bennett
Examples
1 2 3 4 | data(crsp_weekly)
R <- largecap_weekly[, 1:2]
initialWindow <- 150
lambda <- estimateLambdaCor(R, initialWindow, n=10)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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