Package: IndexConstruction 0.1-3
IndexConstruction: Index Construction for Time Series Data
Derivation of indexes for benchmarking purposes. A methodology with flexible number of constituents is implemented. Also functions for market capitalization and volume weighted indexes with fixed number of constituents are available. The main function of the package, indexComp(), provides the derived index, suitable for analysis purposes. The functions indexUpdate(), indexMemberSelection() and indexMembersUpdate() are components of indexComp() and enable one to construct and continuously update an index, e.g. for display on a website. The methodology behind the functions provided gets introduced in Trimborn and Haerdle (2018) <doi:10.1016/j.jempfin.2018.08.004>.
Authors:
IndexConstruction_0.1-3.tar.gz
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IndexConstruction_0.1-3.tgz(r-4.5-any)IndexConstruction_0.1-3.tgz(r-4.4-any)IndexConstruction_0.1-3.tgz(r-4.3-any)
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IndexConstruction.pdf |IndexConstruction.html✨
IndexConstruction/json (API)
| # Install 'IndexConstruction' in R: |
| install.packages('IndexConstruction', repos = c('https://simontrimborn.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 5 years agofrom:3df81c02a4. Checks:3 OK, 5 NOTE. Indexed: yes.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Feb 13 2025 |
| R-4.5-win | NOTE | Feb 13 2025 |
| R-4.5-mac | NOTE | Feb 13 2025 |
| R-4.5-linux | NOTE | Feb 13 2025 |
| R-4.4-win | NOTE | Feb 13 2025 |
| R-4.4-mac | NOTE | Feb 13 2025 |
| R-4.3-win | OK | Feb 13 2025 |
| R-4.3-mac | OK | Feb 13 2025 |
Exports:indexCompindexMemberSelectionindexMembersUpdateindexUpdaterelativeWeightsswitchDates
Dependencies:BHcpp11cvarfastICAfBasicsfGarchgbutilsgenericsgssKernSmoothlatticelubridateMASSMatrixrbibutilsRcppRcppBDTRdpackspatialstabledisttimechangetimeDatetimeSeriesxtszoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Index derivation for price and liquidity indices | indexComp |
| Number of Index Members Derivation | indexMemberSelection |
| Reevaluation of Index constituents weights | indexMembersUpdate |
| Updating an existing index with new index values | indexUpdate |
| Market capitalization data for Cryptocurrencies. | market |
| Pricing data for Cryptocurrencies. | price |
| Retrieving the relative weights of the assets in the index | relativeWeights |
| Deriving the dates on which the index constituents are going to be reevaluated | switchDates |
| Volume data for Cryptocurrencies. | vol |
