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

[Gabor Grothendieck]

That should be do.call("merge", L) since merge.zoo is not exported.  I assume
your objects are all POSIXct with time zones so they are all
internally represented
with respect to GMT anyways.  See R News 4/1.

On Sun, Aug 17, 2008 at 8:53 AM, Gabor Grothendieck
<ggrothendieck at gmail.com> wrote:
> 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]]
>>
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>