Compute the log returns of a vector-valued time series
logret computes the log returns of a multivariate time
series, with optional de-meaning.
## S3 method for class 'matrix' logret(dat, demean = FALSE, standardize = FALSE, ...) ## S3 method for class 'data.frame' logret(dat, demean = FALSE, standardize = FALSE, ...)
dat |
The raw data, a matrix or data frame with |
demean |
Logical value indicating whether the data should be de-meaned. |
standardize |
Logical value indicating whether the data should be standardized (in the sense that each component series has an empirical variance equal to one). |
... |
Ignored. |
Matrix containing the log returns of the (de-meaned) data.
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