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eventstudies (version 1.0)

Event study and extreme event analysis

Description

Implementation of short and long term event study methodology

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Version

Install

install.packages('eventstudies')

Monthly Downloads

4

Version

1.0

License

GPL-2

Maintainer

Vikram Bahure

Last Published

May 6th, 2013

Functions in eventstudies (1.0)

inr

Exchange rate for Indian rupee: INR/USD
eventstudy-package

Event study analysis.
StockPriceReturns

It is the data-set used for event-study analysis.
eesPlot

Plotting clustered and unclustered extreme event study plot.
phys2eventtime

Converts physical dates to event dates.
inference.Ecar

Bootstrap inference for the event study.
SplitDates

It is the data-set used for event-study analysis.
remap.cumsum

This function gives the cumulative total of the values ( in level or percentage form ).
eesData

It is the data-set used for event-study analysis.
ees

Extreme events study for a time series.
remap.cumprod

Returns geometric returns.
remap.event.reindex

This function sets the value at event date to be 100 and the other values relative to this value.