Description Usage Arguments Value Author(s) See Also Examples
Fetch series from Yahoo and perform a partial cointegration fit.
1 |
target |
The ticker symbol of the stock price series that is to be modeled. |
factors |
A list of ticker symbols of stock price series to be used in modeling
|
start |
The starting date for which data is to be fetched, given in the format YYYYMMDD. Default: 2 years ago today. |
end |
The ending date for which data is to be fetched, given in the format YYYYMMDD. Default: today. |
na.rm |
If TRUE, then |
... |
Additional optional parameters to be passed to |
An S3
object of class pci.fit
representing the best fit that
was found.
Matthew Clegg matthewcleggphd@gmail.com
Christopher Krauss christopher.krauss@fau.de
Jonas Rende jonas.rende@fau.de
1 2 3 4 | # Compare a cointegration fit Coca-Cola and Pepsi to a partial cointegration fit.
# Note that yegcm(X, Y) has a different parameter ordering than yfit.pci(Y, X)
# yegcm("PEP", "KO", start=as.numeric(format(Sys.Date() - 365*2, "%Y%m%d")))
# yfit.pci("KO", "PEP")
|
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