constructCBFData: Implements Combined Backfill for Multiple Asset Groups

Description Usage Arguments Value Author(s) References

Description

This function implements Combined Backfill for Multiple Asset Groups

Usage

1

Arguments

dat_xts

xts object containing the returns data for multiple assets with unequal return history.

Value

This function returns the combined backfilled (CBF) dataset.

Author(s)

Pushpak Sarkar

References

Jiang, Y. and Martin, R. D. (2016). "Turning Long and Short Return Histories into Equal Histories: A Better Way to Backfill Returns", https://ssrn.com/abstract=2833057.


spushpak/UnequalReturnHist documentation built on May 24, 2019, 7:20 a.m.