realizedCor: Realized Correlation
In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager
Description
Usage
Arguments
Details
Value
Author(s)
Examples
Description
Calculate realized correlation
Usage
1
realizedCor(R, n)
Arguments
R
xts object of asset returns
n
number of periods used to calculate realized volatility
Details
Realized correlation is calculated using the previous n periods.
Value
xts object of realized correlation
Author(s)
Ross Bennett
Examples
1
2
3
4
5
data(crsp_weekly)
R <- largecap_weekly[, 1:2]
# Calculate realized correlation
realizedCorrelation <- realizedCor(R, 10)
head(realizedCorrelation)
GARPFRM documentation built on May 2, 2019, 5:45 p.m.
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.
Description Usage Arguments Details Value Author(s) Examples
Description
Calculate realized correlation
Usage
1 | realizedCor(R, n)
|
Arguments
R |
xts object of asset returns |
n |
number of periods used to calculate realized volatility |
Details
Realized correlation is calculated using the previous n periods.
Value
xts object of realized correlation
Author(s)
Ross Bennett
Examples
1 2 3 4 5 | data(crsp_weekly)
R <- largecap_weekly[, 1:2]
# Calculate realized correlation
realizedCorrelation <- realizedCor(R, 10)
head(realizedCorrelation)
|
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.