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]
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 29 Mar. 2025.
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
02/2702/2803/0103/0203/0303/0403/0503/0603/0703/0803/0903/1003/1103/1203/1303/1403/1503/1603/1703/1803/1903/2003/2103/2203/2303/2403/2503/2603/2703/28Downloads for monotonicity02468101214TrendBars

Today's Hot Picks in Authors and Packages

landmix  
Landmark Prediction for Mixture Data
Non-parametric prediction of survival outcomes for mixture data that incorporates covariates and a l ...
Download / Learn more Package Citations See dependency  
gglgbtq  
Show Pride on 'ggplot2' Plots
Provides multiple palettes based on pride flags with tailored themes. ...
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  

23,842

R Packages

207,311

Dependencies

64,420

Author Associations

23,781

Publication Badges

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