Dear finance gurus, I would like to ask how you construct VCV matrix
and Mean vector for different futures contracts on same and/or different
underlying. My problem is, when I am near to the inception of some futures
contract, I would not have so many historical futures quotes to legitimately
calculate VCV matrix.
Thanks for you attention
[[alternative HTML version deleted]]
_______________________________________________
[email protected] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should
go.
