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PerformanceAnalytics - Style Analysis- plotting R squared over time
2 messages · Philipp Haumueller, Peter Carl
Phil, The function page.RollingStyle in PApages (also on RForge) shows something of a brute-force way to do it. I'm sure there's a better way, but that should work for you. pcc
Peter Carl http://www.braverock.com/~peter > Dear all, > > I am running some analysis based on an asset factor model (Sharpe model - > Style Analyses) in the Package PerformanceAnalytics/R-Forge.While > calculating weights etc. works fine I would also like to calculate/plot > rolling R-squared values of the Sharpe model over time? Are there any > suggestions how to run this? > > Your help is greatly appreciated - thx, > > Phil > -- > > > > [[alternative HTML version deleted]] > > _______________________________________________ > R-SIG-Finance at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. >