Other packages > Find by keyword >

monotonicity  

Test for Monotonicity in Expected Asset Returns, Sorted by Portfolios
View on CRAN: Click here


Download and install monotonicity package within the R console
Install from CRAN:
install.packages("monotonicity")

Install from Github:
library("remotes")
install_github("cran/monotonicity")

Install by package version:
library("remotes")
install_version("monotonicity", "1.3.1")



Attach the package and use:
library("monotonicity")
Maintained by
Siegfried Köstlmeier
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-04-18
Latest Update: 2019-12-05
Description:
Test for monotonicity in financial variables sorted by portfolios. It is conventional practice in empirical research to form portfolios of assets ranked by a certain sort variable. A t-test is then used to consider the mean return spread between the portfolios with the highest and lowest values of the sort variable. Yet comparing only the average returns on the top and bottom portfolios does not provide a sufficient way to test for a monotonic relation between expected returns and the sort variable. This package provides nonparametric tests for the full set of monotonic patterns by Patton, A. and Timmermann, A. (2010) and compares the proposed results with extant alternatives such as t-tests, Bonferroni bounds, and multivariate inequality tests through empirical applications and simulations.
How to cite:
Siegfried Köstlmeier (2018). monotonicity: Test for Monotonicity in Expected Asset Returns, Sorted by Portfolios. R package version 1.3.1, https://cran.r-project.org/web/packages/monotonicity. Accessed 22 Dec. 2024.
Previous versions and publish date:
1.0 (2018-04-18 10:34), 1.1 (2018-05-23 11:36), 1.2 (2019-02-14 12:50), 1.3 (2019-08-20 11:40)
Other packages that cited monotonicity R package
View monotonicity citation profile
Other R packages that monotonicity depends, imports, suggests or enhances
Complete documentation for monotonicity
Functions, R codes and Examples using the monotonicity R package
Some associated functions: demo_returns . monoBonferroni . monoRelation . monoSummary . monoUpDown . statBootstrap . wolak . 
Some associated R codes: SB_variance.R . matrix_conversion.R . monoBonferroni.R . monoRelation.R . monoSummary.R . monoUpDown.R . newey_west.R . specify_decimal.R . statBootstrap.R . wolak.R .  Full monotonicity package functions and examples
Downloads during the last 30 days
Get rewarded with contribution points by helping add
Reviews / comments / questions /suggestions ↴↴↴

Today's Hot Picks in Authors and Packages

composits  
Compositional, Multivariate and Univariate Time Series Outlier Ensemble
A compositional multivariate and univariate time series outlier ensemble.It uses the four R packages ...
Download / Learn more Package Citations See dependency  
dmlalg  
Double Machine Learning Algorithms
Implementation of double machine learning (DML) algorithms in R, based on Emmenegger and Buehlmann ...
Download / Learn more Package Citations See dependency  
wordspace  
Distributional Semantic Models in R
An interactive laboratory for research on distributional semantic models ('DSM', see < ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
tropAlgebra  
Tropical Algebraic Functions
It includes functions like tropical addition, tropical multiplication for vectors and matrices. In t ...
Download / Learn more Package Citations See dependency  
LOGANTree  
Tree-Based Models for the Analysis of Log Files from Computer-Based Assessments
Enables researchers to model log-file data from computer-based assessments using machine-learning te ...
Download / Learn more Package Citations See dependency  
Maintainer: Qi Qin (view profile)

23,394

R Packages

201,798

Dependencies

63,416

Author Associations

23,395

Publication Badges

© Copyright 2022 - present. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA