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latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB

Assets / Returns Transformation

Unsmoothed Returns

Correct asset returns for artificial smoothing due to the presence of strong serial correlation.

References

post/assets/returns/transformation/unsmoothed

unsmoothingMethod'geltner' | 'okunevWhite'

The unsmoothing method to use

unsmoothingMethodOrderinteger

The order of autocorrelation to be removed from the asset returns; if unsmoothingMethod is equal to "geltner", the maximum allowed value is 1