[R-SIG-Finance] How to get data from different time zones (e.g. USA, EU, Asia) in the same format

[Gabor Grothendieck]

merge.zoo does that:

merge(z1, z2)

See ?merge.zoo

Note that unlike zoo in the core of R which can only merge two objects
at a time merge.zoo
can merge multiple objects so if L is a list of such zoo objects you can write:

do.call("merge.zoo", L)



On Sun, Aug 17, 2008 at 8:19 AM, Bastian Offermann
<bastian2507hk at yahoo.co.uk> wrote:
> Hello,
>
>
>
> I am currently analyzing market data retrieving data sets from yahoo with
> the get.hist.quote function in the Performance Analytics package.
>
>
>
> ############ Data Import Sheet ##############
>
>
>
> ticker<-c("^GSPC", "^GDAXI")
>
>
>
>
>
> # Time horizon
>
>
>
> from <- "1992-01-03"              # of type "YYYY-MM-DD"
>
> till <- "2007-12-31"
>
>
>
> # Return frequency
>
>
>
> freque <- c("d", "w", "m", "y")
>
> fq <- 1                             # input 1 for "d", 2 for "w" etc.
>
>
>
>
>
> # Benchmark
>
> benchmark <- get.hist.quote(ticker[1], start = from, end = till,
> compression=freque[fq], quote="Close")
>
> benchmark2 <- get.hist.quote(ticker[2], start = from, end = till,
> compression=freque[fq], quote="Close")
>
>
>
> Now, both benchmarks are zoo objects with an attached index. Unfortunately,
> due to holidays etc both series do neither have identical indices nor the
> same length (in most cases, sometimes they do by chance).
>
> I have been trying to address this problem for quite some time now, but
> cannot find a solution to it.
>
>
>
> The problems arise as I usually store each series in a matrix format where
> the rows contain the assets and the columns the respective quotes or returns
> for a certain trading interval.
>
>
>
>            Quote 1 .. Quote 2 .. Quote N
>
> Asset1
>
>
>
> Asset 2
>
>
>
> ..
>
> ..
>
> ..
>
>
>
> Asset N
>
>
>
> Etc.
>
>
>
> What I ultimately want to do is to match both series, i.e. same time indices
> and same length.
>
>
>
> Do you have an idea how to overcome this? Thanks in advance.
>
>
>
> regards
>
>
>        [[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>