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2012 Oct 13
1
hep on arithmetic covariance conversion to log-covariance
Dear All,
is there a function in R that would help me convert a covariance matrix built based on arithmetic returns to a covariance matrix from log-returns?
As an example of the means and covariance from arithmetic:
mu <-c(0.094,0.006,1.337,1.046,0.263)
sigma