[R-SIG-Finance] missing data in return series...

[Eric Zivot]

I would look at the package monomvn: Estimation for multivariate normal and
Student-t data with monotone missingness. Professor Gramacy gave a very nice
presentation at the recent R/Finance 2011 conference:
http://www.rinfinance.com/agenda/2011/RobertGramacy.pdf



-----Original Message-----
From: r-sig-finance-bounces at r-project.org
[mailto:r-sig-finance-bounces at r-project.org] On Behalf Of ShyhWeir Tzang
Sent: Monday, September 19, 2011 12:27 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] missing data in return series...

Dear all:

I have a portfolio of about 50 stocks of which about 10~15 stocks with
unequal lengths. That means they have shorter historical return series than
others. How may I estimate the covariance matrix and mean of the stocks? Is
the Stambaugh (1997) ("Analyzing investments whose histories differ in
length") method still valid for individual stocks instead of funds? Is there
any better way or more efficient way to estimate their mean and covariance
matrix? Any help or suggestion is highly appreciated.

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