[R-sig-finance] using yahoo and other data to calculate CAPM and FF betas

[Dirk Eddelbuettel]

On 6 April 2006 at 23:27, Krishna Kumar wrote:
| To add to Gabor's suggestion you could do the following to get an 
| approximated series..
| so if mydata is a vector with "NA" 's then doing
| 
|  >mydata<-approx(mydata,xout=seq(along=mydata))$y

Personally, I'd be careful about interpolating / imputing.  

The zoo class has fine features such as na.locf() and merge() which do most
common operations.  Owe will probably learn a lot just from studying the
documents supplied with the zoo package, and the R News articles.

| Also there was a very interesting paper that showed that the Fama-French
| effect was not really a anamoly when you estimate using Robust regression
| instead of OLS. I can't remember the reference but it

IIRC it was mentioned in the Scherer/Martin book on 'Modern Portofolio
Optimization'. Google'ing for 'doug martin fama french robust' leads to a few
pages at Insightful and UW.

Dirk

-- 
Hell, there are no rules here - we're trying to accomplish something. 
                                                  -- Thomas A. Edison