rollCov: Rolling Covariance Estimate
In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager
Description
Usage
Arguments
Author(s)
See Also
Examples
Description
This function calculates the covariance estimate between the returns of a
pair of assets over a rolling window.
Usage
1
Arguments
R
xts or zoo object of asset returns
width
width of rolling window
Author(s)
Ross Bennett
See Also
Examples
1
2
3
data(crsp_weekly)
R <- largecap_weekly[,1:4]
tail(rollCov(R, 10))
GARPFRM documentation built on May 2, 2019, 5:45 p.m.
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Description Usage Arguments Author(s) See Also Examples
Description
This function calculates the covariance estimate between the returns of a pair of assets over a rolling window.
Usage
1 |
Arguments
R |
xts or zoo object of asset returns |
width |
width of rolling window |
Author(s)
Ross Bennett
See Also
Examples
1 2 3 | data(crsp_weekly)
R <- largecap_weekly[,1:4]
tail(rollCov(R, 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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