BetaCoMoments {PerformanceAnalytics}R Documentation

Functions to calculate systematic or beta co-moments of return series

Description

calculate higher co-moment betas, or 'systematic' variance, skewness, and kurtosis

Usage

BetaCoVariance(Ra, Rb)

BetaCoSkewness(Ra, Rb, test = FALSE)

BetaCoKurtosis(Ra, Rb)

Arguments

Ra

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

Rb

an xts, vector, matrix, data frame, timeSeries or zoo object of index, benchmark, or secondary asset returns to compare against

test

condition not implemented yet

Author(s)

Kris Boudt, Peter Carl, Brian Peterson

References

Boudt, Kris, Brian G. Peterson, and Christophe Croux. 2008. Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns. Journal of Risk. Winter.

Martellini, Lionel, and Volker Ziemann. 2007. Improved Forecasts of Higher-Order Comoments and Implications for Portfolio Selection. EDHEC Risk and Asset Management Research Centre working paper.

See Also

CoMoments

Examples


data(managers)

BetaCoVariance(managers[, "HAM2", drop=FALSE], managers[, "SP500 TR", drop=FALSE])
BetaCoSkewness(managers[, "HAM2", drop=FALSE], managers[, "SP500 TR", drop=FALSE])
BetaCoKurtosis(managers[, "HAM2", drop=FALSE], managers[, "SP500 TR", drop=FALSE])
BetaCoKurtosis(managers[,1:6], managers[,8,drop=FALSE])
BetaCoKurtosis(managers[,1:6], managers[,8:7])
[Package PerformanceAnalytics version 1.5.2 Index]