Description Usage Arguments Details Value References See Also Examples

Compute a multivariate series of exchange rate returns (log-returns in percent) from a multivariate series of exchange rates.

1 2 |

`x` |
character with column name of selected target currency. |

`other` |
character vector with column names of further currencies (to be used as regressors). |

`data` |
a |

`frequency` |
character specifying whether weekly or daily returns should be computed. |

`start` |
start time of the exchange rate series (before computing returns). |

`end` |
end time of the exchange rate series. |

`na.action` |
function for handling |

`trim` |
logical or numeric. Should time points with extreme returns of the
target currency be excluded? If set to |

`fxreturns`

is a convenience function for selecting a smaller number
of currencies from a large database of exchange rates (such as `FXRatesCHF`

provided with the package), selecting a certain time window (if necessary),
computing returns (weekly or daily), eliminating missing values and potentially trimming
extreme returns (of the target currency).

A `"zoo"`

with the returns of the specified currencies.

Shah A., Zeileis A., Patnaik I. (2005), What is the New Chinese Currency Regime?, Report 23, Department of Statistics and Mathematics, Wirtschaftsuniversitaet Wien, Research Report Series, November 2005. http://epub.wu.ac.at.

Zeileis A., Shah A., Patnaik I. (2010), Testing, Monitoring, and Dating Structural
Changes in Exchange Rate Regimes, *Computational Statistics and Data Analysis*,
54(6), 1696–1706. http://dx.doi.org/10.1016/j.csda.2009.12.005.

1 2 3 4 5 6 7 8 9 10 | ```
## load package and data
library("fxregime")
data("FXRatesCHF", package = "fxregime")
## compute returns for CNY (and explanatory currencies)
## for one year after abolishing fixed USD regime
cny <- fxreturns("CNY", frequency = "daily",
start = as.Date("2005-07-25"), end = as.Date("2006-07-24"),
other = c("USD", "JPY", "EUR", "GBP"))
plot(cny)
``` |

```
Loading required package: zoo
Attaching package: ‘zoo’
The following objects are masked from ‘package:base’:
as.Date, as.Date.numeric
Loading required package: strucchange
Loading required package: sandwich
```

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