an xts, vector, matrix, data frame, timeSeries
or zoo object of asset returns
method
one of "none", "boudt", which applies the
function clean.boudt or "geltner" which
applies the function Return.Geltnerto R
alpha
the percentage of outliers you want to
clean
...
additional parameters passed into the
underlying cleaning function
Details
This is a wrapper for offering multiple data cleaning
methods for data objects containing returns.
The primary value of data cleaning lies in creating a
more robust and stable estimation of the distribution
generating the large majority of the return data. The
increased robustness and stability of the estimated
moments using cleaned data should be used for portfolio
construction. If an investor wishes to have a more
conservative risk estimate, cleaning may not be indicated
for risk monitoring.
In actual practice, it is probably best to back-test the
results of both cleaned and uncleaned series to see what
works best when forecasting risk with the particular
combination of assets under consideration.
In this version, only one method is supported. See
clean.boudt for more details.