an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns
method
one of "none", "boudt", which applies the function
clean.boudt or "geltner" which applies the function
Return.Geltnerto R
alpha
the percentage of outliers you want to clean
...
additional parameters passed into the underlying cleaning
function
Details
This is a wrapper for offering multiple data cleaning methods for data
objects containing returns.
The primary value of data cleaning lies in creating a more robust and stable
estimation of the distribution generating the large majority of the return
data. The increased robustness and stability of the estimated moments using
cleaned data should be used for portfolio construction. If an investor
wishes to have a more conservative risk estimate, cleaning may not be
indicated for risk monitoring.
In actual practice, it is probably best to back-test the results of both
cleaned and uncleaned series to see what works best when forecasting risk
with the particular combination of assets under consideration.
In this version, only one method is supported. See
clean.boudt for more details.