[R] Re: R-help Digest, Vol 12, Issue 27

[s viswanath]

Dear R helpers,

I am interested in doing an overlapping moving block bootstrap (Davinson and Hinkley(1997)) on financial market data
using R.

I have daily stock returns and have tried
( unsuccessfully using sample and boot function) to create a sample containing consecutive "trading days"


For example i want to sample data from a return series x days forward when an event(binary) occurs.

Also, has anyone programmed the 'omega' function used by some funds to rank returns using cdf's and comparing areas under two return curves for a mutual fund?

Any help is greatly appreciated.

Thank you ,

S Viswanath