eventstudies: Event study and extreme event analysis

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Implementation of short and long term event study methodology

Author
Ajay Shah, Vimal Balasubramaniam, Vikram Bahure
Date of publication
2013-05-08 15:39:06
Maintainer
Vikram Bahure <economics.vikram@gmail.com>
License
GPL-2
Version
1.1

View on CRAN

Man pages

ees
Extreme events study for a time series.
eesData
It is the data-set used for event-study analysis.
eesPlot
Plotting clustered and unclustered extreme event study plot.
eventstudy-package
Event study analysis.
inference.Ecar
Bootstrap inference for the event study.
inr
Exchange rate for Indian rupee: INR/USD
phys2eventtime
Converts physical dates to event dates.
remap.cumprod
Returns geometric returns.
remap.cumsum
This function gives the cumulative total of the values ( in...
remap.event.reindex
This function sets the value at event date to be 100 and the...
SplitDates
It is the data-set used for event-study analysis.
StockPriceReturns
It is the data-set used for event-study analysis.

Files in this package

eventstudies
eventstudies/MD5
eventstudies/vignettes
eventstudies/vignettes/eventstudies.Rnw
eventstudies/vignettes/eventstudies.bib
eventstudies/vignettes/ees.Rnw
eventstudies/tests
eventstudies/tests/test_eventstudy.R
eventstudies/tests/inr_inference.R
eventstudies/tests/data
eventstudies/tests/data/inr.rda
eventstudies/R
eventstudies/R/remap.event.reindex.R
eventstudies/R/remap.cumsum.R
eventstudies/R/remap.cumprod.R
eventstudies/R/phys2eventtime.R
eventstudies/R/inference.Ecar.R
eventstudies/R/ees.R
eventstudies/NAMESPACE
eventstudies/man
eventstudies/man/StockPriceReturns.Rd
eventstudies/man/SplitDates.Rd
eventstudies/man/remap.event.reindex.Rd
eventstudies/man/remap.cumsum.Rd
eventstudies/man/remap.cumprod.Rd
eventstudies/man/phys2eventtime.Rd
eventstudies/man/inr.Rd
eventstudies/man/inference.Ecar.Rd
eventstudies/man/eventstudy-package.Rd
eventstudies/man/eesPlot.Rd
eventstudies/man/eesData.Rd
eventstudies/man/ees.Rd
eventstudies/inst
eventstudies/inst/doc
eventstudies/inst/doc/eventstudies.Rnw
eventstudies/inst/doc/eventstudies.pdf
eventstudies/inst/doc/ees.Rnw
eventstudies/inst/doc/ees.pdf
eventstudies/DESCRIPTION
eventstudies/data
eventstudies/data/StockPriceReturns.rda
eventstudies/data/SplitDates.rda
eventstudies/data/inr.rda
eventstudies/data/eesData.rda