French: Download Datasets from Kenneth French's Data Library
In enricoschumann/NMOF: Numerical Methods and Optimization in Finance

Description Usage Arguments Details Value Author(s) See Also Examples

Download datasets from Kenneth French's Data Library.

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French(dest.dir, dataset = "F-F_Research_Data_Factors_CSV.zip",
       weighting = "value", frequency = "monthly",
       price.series = FALSE, na.rm = FALSE)

`dest.dir`	character: a path to a directory
`dataset`	a character string: the file name
`weighting`	a character string: `"equal"` or `"value"`
`frequency`	a character string: `daily`, `monthly` or `annual`. Whether it is used or ignored depends on the particular dataset.
`price.series`	logical: convert the returns series into prices series?
`na.rm`	logical: remove missing values in the calculation of price series?

The function downloads data provided by Kenneth French at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.

The download file gets a date prefix (today in format YYYYMMDD) and is stored in directory dest.dir. Before any download is attempted, the function checks whether a file with today's prefix exist in dest.dir; if yes, the file used.

Missing values are usually coded as -99 or similar values in the original data files. These numeric values are replaced by NA.

a data.frame

Enrico Schumann

Shiller

## Not run: 
archive.dir <- "~/Downloads/French"
if (!dir.exists(archive.dir))
    dir.create(archive.dir)
French(archive.dir, "F-F_Research_Data_Factors_CSV.zip")

## End(Not run)