Derivation of indexes for benchmarking purposes. The methodology of the CRyptocurrency IndeX (CRIX) family with flexible number of constituents is implemented. Also functions for market capitalization and volume weighted indexes with fixed number of constituents are available. The methodology behind the functions provided gets introduced in Trimborn and Haerdle (2018) <doi:10.1016/j.jempfin.2018.08.004>.
| Version: | 0.1-1 |
| Depends: | R (≥ 2.10) |
| Imports: | KernSmooth, fGarch, lubridate, xts, RcppBDT, zoo |
| Published: | 2019-03-29 |
| Author: | Simon Trimborn |
| Maintainer: | Simon Trimborn <simon.trimborn at nus.edu.sg> |
| License: | GPL (≥ 3) |
| NeedsCompilation: | no |
| Citation: | IndexConstruction citation info |
| CRAN checks: | IndexConstruction results |
| Reference manual: | IndexConstruction.pdf |
| Package source: | IndexConstruction_0.1-1.tar.gz |
| Windows binaries: | r-devel: IndexConstruction_0.1-1.zip, r-release: IndexConstruction_0.1-1.zip, r-oldrel: IndexConstruction_0.1-1.zip |
| OS X binaries: | r-release: IndexConstruction_0.1-1.tgz, r-oldrel: IndexConstruction_0.1-1.tgz |
Please use the canonical form https://CRAN.R-project.org/package=IndexConstruction to link to this page.