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Dec 16

Extra moments measure

Posted by abiao at 21:57 | Code » R/Splus | Comments(0) | Reads(6236)
The following functions are intended to replicate calculations for taking higher moments of hedge fund returns into account in analyzing particular investments.  Most of the formulae are taken from various EDHEC research papers.

# All returns are assumed to be on a monthly scale!

functions including:

# moment.third
# moment.fourth
# CoSkewness
# CoKurtosis
# BetaCoVariance
# BetaCoV (wrapper for BetaCoVariance)
# SystematicBeta (wrapper for BetaCoVariance)
# BetaCoSkewness
# BetaCoS (wrapper for BetaCoSkewness)
# SystematicSkewness (wrapper for BetaCoSkewness)
# BetaCoKurtosis
# BetaCoK (wrapper for BetaCoKurtosis)
# SystematicKurtosis (wrapper for BetaCoKurtosis)
# VaR
# VaR.Beyond
# VaR.column
# VaR.CornishFisher
# VaR.Marginal
# modifiedVaR (wrapper for VaR.CornishFisher)

http://braverock.com/brian/R/extra_moments.R


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