[R] looking for an add-in for daily data analysis

[R. Michael Weylandt]

Perhaps PerformanceAnalytics and the CAPM.* functions.

Michael

On Thu, Apr 26, 2012 at 8:46 AM, and_mue <and_mueller at bluewin.ch> wrote:
> Hi all
>
> I am looking for an add-in. I am currently working on something and I use
> daily data of closing stock prices. As not all companies are traded daily
> (e.g. on monday, then on thursday etc) at the stock exchange, there is
> satistically a problem. There are some papers which explain the approach to
> handle infrequent trading of a stock or non synchronous data and beta
> estimation (Dimson, 1979; Scholes & Williams, 1977). I looked for add-ins
> which do address this topic, but i couldn't find any.
>
> I have to calculated daily returns from the daily colsing stock prices.
> Afterwards I want to estimate the alphas and betas of the market model for a
> given timeperiod. Then I calculate abnormal returns and CAR's and assess
> their significance (event study methodology with the market model).
>
> Does someone have any idea on how I should handle these problems or a link
> for an appropriate package? For implementing these statistics on my own, I
> knowledge in R is not sufficient.
>
> Kind Regards
> AM
>
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