Package: IndexConstruction
Type: Package
Title: Index Construction for Time Series Data
Version: 0.2-1
Date: 2026-05-18
Author: Simon Trimborn <trimborn.econometrics@gmail.com>
Maintainer: Simon Trimborn <trimborn.econometrics@gmail.com>
LazyLoad: yes
LazyData: true
Depends: R (>= 2.10)
Imports: KernSmooth, fGarch, lubridate, xts, RcppBDT, zoo
Description: 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>.
License: GPL (>=3)
Repository: https://simontrimborn.r-universe.dev
Date/Publication: 2026-05-18 15:39:43 UTC
RemoteUrl: https://github.com/simontrimborn/indexconstruction
RemoteRef: HEAD
RemoteSha: 7d10738d17a48eec54f2ae3c1c8d4eb27184c197
NeedsCompilation: no
Packaged: 2026-06-18 06:44:04 UTC; root