FilterComponents: Filter Components.

In Texas-UCF/quantkit: Quantitative analysis for financial markets

Description

Filter Components.

Usage

FilterComponents(ticker, components = "^GSPC", cutoff = 0.05,
  start = Sys.Date() - 365, end = Sys.Date())

Arguments

ticker	Yahoo Finance target ticker
components	Vector of Yahoo Finance tickers to be filtered out
cutoff	If p-value > cutoff, exclude the component
start	Start date
end	End date

Value

List of filtered out time series, returns, and regression results

Examples

FilterComponents("XOM", c("^GSPC", "USO"), 0.05, as.Date('2015-01-01'), as.Date('2015-05-25'))

Texas-UCF/quantkit documentation built on May 9, 2019, 4:26 p.m.