Test for Monotonicity in Expected Asset Returns, Sorted by
Portfolios
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Documentation for package ‘monotonicity’ version 1.3.1
Help Pages
| demo_returns | Asset returns used in Ang, Chen and Xing (RFS, 2006), sorted into ten portfolios. |
| monoBonferroni | Test of weak monotonicity using Bonferroni bounds |
| monoRelation | Testing the monotonic relationship in asset returns |
| monoSummary | Summary of Patton and Timmermann monotonicity (JoE, 2010) tests |
| monoUpDown | Up and Down test |
| statBootstrap | Stationary bootstrap method |
| wolak | Testing inequality constraints in linear econometric models |