Package | Description |
---|---|
tech.nmfin.portfoliooptimization.lai2010.ceta.npeb.resampler | |
tech.nmfin.portfoliooptimization.lai2010.fit |
Modifier and Type | Method and Description |
---|---|
protected abstract ResamplerModel |
ModelResamplerFactory.getResamplerModel(Matrix returns) |
protected ResamplerModel |
ARResamplerFactory.getResamplerModel(Matrix returns) |
protected ResamplerModel |
GARCHResamplerFactory.getResamplerModel(Matrix returns) |
Modifier and Type | Class and Description |
---|---|
class |
SimpleAR1Fit
This class does a quick AR(1) fitting to the time series, essentially
treating the returns as independent.
|
class |
SimpleGARCHFit
This class does a quick GARCH(1,1) fitting to the time series, essentially
treating the returns as independent.
|
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