ecd.ts_lag_stats

the xts object from sample data. The ts must have the logr column.
If a string is given, it will be replaced with sample data of the symbol.

a numeric vector of integers greater than 0.

lags

logical, if <code>TRUE</code>, statistics calculated on absolute log returns. 
Default: <code>FALSE</code>.

absolute

Lag statistics on log returns are added to the xts attributes. It takes
a vector of lags and calculates the mean, stdev, var, skewness, and kurtosis
for cumulative log returns of each lag. The data is stored as a list of vectors 
under <code>lagstats</code> attribute. Be aware this function uses multicore lapply.

Statistics

sample-data

Elliptic lambda distribution and lambda option pricing model
have been evolved into a framework of
stable-law inspired distributions,
such as the extended stable lambda distribution for asset return,
stable count distribution for volatility,
and Lihn-Laplace process as a leptokurtic extension of Wiener process.
This package contains functions for the computation of
density, probability, quantile, random variable, fitting procedures,
option prices, volatility smile. It also comes with sample financial data,
and plotting routines.

ecd.ts_lag_stats: Lag statistics on timeseries of log returns

Description

Usage

Arguments

Value

Examples