fAssets (version 280.74)

assetsStats: Assets Statistics

Description

Computes basic statistics of a set of assets.

Usage

assetsStats(x)

Arguments

x

any rectangular time series object which can be converted by the function as.matrix() into a matrix object, e.g. like an object of class timeSeries, data.frame, or mts.

Value

• returns a data frame with major statistics for a given data set of assets.

References

Breiman L. (1996); Bagging Predictors, Machine Learning 24, 123--140.

Ledoit O., Wolf. M. (2003); ImprovedEestimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection, Journal of Empirical Finance 10, 503--621.

Schaefer J., Strimmer K. (2005); A Shrinkage Approach to Large-Scale Covariance Estimation and Implications for Functional Genomics, Statist. Appl. Genet. Mol. Biol. 4, 32.

Examples

## LPP -
   LPP = as.timeSeries(data(LPP2005REC))[, 1:3]
   colnames(LPP)
   
   # Compute Basic Statistics:
   basicStats(LPP)