Confidence Interval Data to compute AMIM

datasets

Fast tool to calculate the Adjusted Market Inefficiency Measure following Tran & Leirvik (2019) <doi:10.1016/j.frl.2019.03.004>. This tool provides rolling window estimates of the Adjusted Market Inefficiency Measure for multiple instruments simultaneously.

Vu Le Tran

AMIM

Compute the Adjusted Market Inefficiency Measure

CI function

## `CI`
A data datatable with the following columns:<dl>
 <dt>N</dt>
<dd>Number of lags</dd> <dt>a</dt>
<dd>Scale parameter equal to 1 as in Tran &amp; Leivrik (2019)</dd> <dt>CI</dt>
<dd>Confidence interval accordingly
 each number lags and scale parameter</dd> ...</dl>

Format

Confidence Interval Data to compute AMIM — CI

## `CI`
A data datatable with the following columns:<dl>
 <dt>N</dt>
<dd>Number of lags</dd>

 <dt>a</dt>
<dd>Scale parameter equal to 1 as in Tran &amp; Leivrik (2019)</dd>

 <dt>CI</dt>
<dd>Confidence interval accordingly
 each number lags and scale parameter</dd>

 ...

</dl>

CI: Confidence Interval Data to compute AMIM

Description

Usage

Arguments

Format