Convert prices to returns
[RetSeries,RetIntervals] = ...
price2ret(TickSeries,TickTimes,Method)
[RetSeries,RetIntervals] = ...
computes
asset returns for
price2ret(TickSeries,TickTimes,Method)NUMOBS
price observations of NUMASSETS
assets.
TickSeries | Time series of price data.
|
TickTimes | A |
Method | Character vector indicating the compounding method to
compute asset returns. If |
| Array of asset returns:
|
|
|