Adjust.thin {vrtest} | R Documentation |
Adjustment for thinly-traded returns
Description
The adjustment based on AR(1) fitting as proposed by Miller et al. (1994)
Usage
Adjust.thin(y)
Arguments
y |
financial return time series |
Value
Adjusted return
Author(s)
Jae H. Kim
References
Miller et al. (1994), Mean Reversion of Standard & Poor's 500 Index Base Changes: Arbitrage Induced or Statistical Illusion Journal of Finance, XLIX, 479-513.
Examples
data(exrates)
y <- exrates$ca
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])
Adjust.thin(r)
[Package vrtest version 1.2 Index]