Hi all I am looking for an add-in. I am currently working on something and I use daily data of closing stock prices. As not all companies are traded daily (e.g. on monday, then on thursday etc) at the stock exchange, there is satistically a problem. There are some papers which explain the approach to handle infrequent trading of a stock or non synchronous data and beta estimation (Dimson, 1979; Scholes & Williams, 1977). I looked for add-ins which do address this topic, but i couldn't find any.
I have to calculated daily returns from the daily colsing stock prices. Afterwards I want to estimate the alphas and betas of the market model for a given timeperiod. Then I calculate abnormal returns and CAR's and assess their significance (event study methodology with the market model). Does someone have any idea on how I should handle these problems or a link for an appropriate package? For implementing these statistics on my own, I knowledge in R is not sufficient. Kind Regards AM -- View this message in context: http://r.789695.n4.nabble.com/looking-for-an-add-in-for-daily-data-analysis-tp4589711p4589711.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
