IndexConstruction: Index Construction for Time Series Data

Derivation of indexes for benchmarking purposes. The methodology of the CRyptocurrency IndeX (CRIX) family with flexible number of constituents is implemented. Also functions for market capitalization and volume weighted indexes with fixed number of constituents are available. The methodology behind the functions provided gets introduced in Trimborn and Haerdle (2018) <doi:10.1016/j.jempfin.2018.08.004>.

Getting started

Package details

AuthorSimon Trimborn <[email protected]>
MaintainerSimon Trimborn <[email protected]>
LicenseGPL (>= 3)
Package repositoryView on CRAN
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IndexConstruction documentation built on May 2, 2019, 3:29 p.m.