Comments (1)
I just stumbled across this when looking at some other issues and might be able to offer some help as I've been using Finance.ewmVol
quite a bit in my work recently. One thing that might be worth pointing out is that Finance.ewmVol
makes an assumptions that you're dealing with a returns series for a financial asset/instrument and therefore that the expected value of the mean of the returns is 0
. So I believe the functions in this module have been specifically designed for financial applications and so have made some assumptions about the input data.
This might be the source of problem, or maybe you were already aware of this, apologies if so.
from deedle.
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from deedle.