cdts: Combine daily time series

In vst/mgarch: Tools for simulating, estimating and diagnosing MGARCH processes

Description

cdts combines daily time series in a daily or weekly returns format.

Usage

cdts(file.names, return.formula = 'simple', from.to, daily.availability = 1, weekly.availability = 1, verbose = T)

Arguments

file.names	a vector containing the level series (“.dat” extension should be omitted)
return.formula	return formula used: 'simple' or ???
from.to	a vector for specifying the date range. Defaults to the first and last available dates
daily.availability	indicates whether daily combination should take place or not
weekly.availability	indicates whether weekly combination should take place or not
verbose	boolean value that tells whether verbose output should be printed or not

Details

cdts combines daily time series in a daily or weekly returns format. It takes the name of the files (“.dat” extension should be omitted) of the level series and combines them by calculating the returns.

Value

file.names	the name of the input files (extension omitted)
data.daily	daily data
data.weekly	weekly data
all.data.daily	all daily data

Author(s)

Harald SCHMIDBAUER [e-mail]

Examples

	## Not run: combined = cdts(c("xu100", "dji", "gdaxi"))

vst/mgarch documentation built on May 3, 2019, 7:09 p.m.