[R-SIG-Finance] cointegrated series with Data Missing

Brian G. Peterson brian at braverock.com
Tue Aug 12 14:07:38 CEST 2008

Marcus Vinícius Soares wrote:
> Hi there!
> First, I´m from Brazil, so sorry for any English mistake.
> I have two cointegrated series with Data Missing in both. They are two finance series, one from USA and another from Brazil, so in holidays here I have data for USA serie and same for holidays in USA.
> I think usual Data Missing theories do not apply, since they are time series, and are also cointegrated.
> Can someone help me?

There have been many discussions on this list regarding missing data in 
financial timeseries, so I suggest that you search the list archives.

I would also suggest that you look at the methods for dealing with 
missing data in the 'xts' package (and by extension, from 'zoo'), and 
see if a an locf or interpolated solution would work.


    - Brian

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