Displaying 2 results from an estimated 2 matches for "smoothingindex".
2008 Jan 01
0
PerformanceAnalytics version 0.9.6 released to CRAN
...to other return series that show autocorrelation or
illiquidity effects. The theory is that by correcting for
autocorrelation, you are uncovering a "true" return from series
of observed returns that contain illiquidity or manual pricing
effects.
SmoothingIndex
Proposed by Getmansky et al to provide a normalized measure of
liquidity risk. The index will produces a number from zero to
one. A low number indicates low liquidity risk. A number
trending towards one indicates a higher liquidity risk.
table.Autocorrel...
2008 Jan 01
0
PerformanceAnalytics version 0.9.6 released to CRAN
...to other return series that show autocorrelation or
illiquidity effects. The theory is that by correcting for
autocorrelation, you are uncovering a "true" return from series
of observed returns that contain illiquidity or manual pricing
effects.
SmoothingIndex
Proposed by Getmansky et al to provide a normalized measure of
liquidity risk. The index will produces a number from zero to
one. A low number indicates low liquidity risk. A number
trending towards one indicates a higher liquidity risk.
table.Autocorrel...