Log_Period_Vol: Log_Period_Vol

In 3schwartz/SpecialeScrAndFun: Script and functions used for master thesis.

Description

Get data in a specified periodicity and output is excess return and scaled excess return. Volatility is calculated using annualized exponential weighted average.

Usage

Log_Period_Vol(listCoins = coinList.xts, listIndex = MSCI.xts,
  period = c("days", "weeks", "months"), delta = 60/61,
  annu = 365.25, dateRange = list(BitCoin = "2013/", BitCash =
  "2017-08-01/", Ethereum = "2016-02-01/", Ripple = "2014-01-01/", Cum =
  "2013/"))

Arguments

listCoins	List of cryptocurrencies in xts form with daily data frequency
listIndex	List of index for dayly weekly and monthly frequency
period	Periodicity of data. Can be "days", "weeks" or "months"
delta	Delta used for volatility. Theses are always calculated using data and then transformed
annu	Annualizing factor
dateRange	Range for the different cryptocurrencies for output. Also final name for each list

Value

List with cryptocurrencies each with

name excessReturn	description Timeseries of excess return
name exReVol	description Timeseries with excess return scaled by annulaized volatility

3schwartz/SpecialeScrAndFun documentation built on May 4, 2019, 6:29 a.m.