Nothing
## ----setup, include=FALSE-----------------------------------------------------
knitr::opts_chunk$set(echo = TRUE)
## ---- message=F, echo=T, eval=FALSE-------------------------------------------
# library(tidyquant)
# library(dplyr)
# library(readr)
## ---- eval=FALSE--------------------------------------------------------------
# startDate <- "2014-05-01"
# endDate <- "2015-12-31"
## ---- eval=FALSE--------------------------------------------------------------
# # Firm Data
# firmSymbols <- c("VOW.DE", "NSU.DE", "PAH3.DE", "BMW.DE", "DAI.DE")
# firmNames <- c("VW preferred", "Audi", "Porsche Automobil Hld", "BMW", "Daimler")
# firmSymbols %>%
# tidyquant::tq_get(from = startDate, to = endDate) %>%
# dplyr::mutate(date = format(date, "%d.%m.%Y")) -> firmData
# knitr::kable(head(firmData), pad=0)
## ---- eval=FALSE--------------------------------------------------------------
# # Index Data
# indexSymbol <- c("^GDAXI")
# indexName <- c("DAX")
# indexSymbol %>%
# tidyquant::tq_get(from = startDate, to = endDate) %>%
# dplyr::mutate(date = format(date, "%d.%m.%Y")) -> indexData
# indexData$symbol <- "DAX"
# knitr::kable(head(indexData), pad=0)
## ---- eval=FALSE--------------------------------------------------------------
# # Price files for firms and market
# firmData %>%
# dplyr::select(symbol, date, adjusted) %>%
# readr::write_delim(path = "02_firmDataPrice.csv",
# delim = ";",
# col_names = F)
#
# indexData %>%
# dplyr::select(symbol, date, adjusted) %>%
# readr::write_delim(path = "03_marketDataPrice.csv",
# delim = ";",
# col_names = F)
#
# # Volume files for firms and market
# firmData %>%
# dplyr::select(symbol, date, volume) %>%
# readr::write_delim(path = "02_firmDataVolume.csv",
# delim = ";",
# col_names = F)
#
# indexData %>%
# dplyr::select(symbol, date, volume) %>%
# readr::write_delim(path = "03_marketDataVolume.csv",
# delim = ";",
# col_names = F)
## ---- eval=FALSE--------------------------------------------------------------
# group <- c(rep("VW Group", 3), rep("Other", 2))
# request <- cbind(c(1:5), firmSymbols, rep(indexName, 5), rep("18.09.2015", 5), group, rep(-10, 5), rep(10, 5), rep(-11, 5), rep(250, 5))
# request %>%
# as.data.frame() %>%
# readr::write_delim("01_requestFile.csv", delim = ";", col_names = F)
## ---- message=F, eval=F-------------------------------------------------------
# key <- "573e58c665fcc08cc6e5a660beaad0cb"
#
# library(EventStudy)
# est <- EventStudyAPI$new()
# est$authentication(apiKey = key)
#
# # get & set parameters for abnormal return Event Study
# # we use a garch model and csv as return
# # Attention: fitting a GARCH(1, 1) model is compute intensive
# esaParams <- EventStudy::ARCApplicationInput$new()
# esaParams$setResultFileType("csv")
# esaParams$setBenchmarkModel("garch")
#
# dataFiles <- c("request_file" = "01_requestFile.csv",
# "firm_data" = "02_firmDataPrice.csv",
# "market_data" = "03_marketDataPrice.csv")
#
# # check data files, you can do it also in our R6 class
# EventStudy::checkFiles(dataFiles)
#
# # now let us perform the Event Study
# arEventStudy <- est$performEventStudy(estParams = esaParams,
# dataFiles = dataFiles,
# downloadFiles = T)
## ---- eval=F------------------------------------------------------------------
# knitr::kable(head(arEventStudy$arResults))
## ---- eval=F------------------------------------------------------------------
# knitr::kable(head(arEventStudy$aarResults))
## ---- message=F, eval=F-------------------------------------------------------
# est <- EventStudyAPI$new()
# est$authentication(apiKey = key)
#
# # get & set parameters for abnormal return Event Study
# esaParams <- EventStudy::AVyCApplicationInput$new()
# esaParams$setResultFileType("csv")
#
# avycEventStudy <- est$performEventStudy(estParams = esaParams,
# dataFiles = dataFiles,
# downloadFiles = T)
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