IndexConstruction: Index Construction for Time Series Data

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>
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:, r-release:, r-oldrel:
OS X binaries: r-release: IndexConstruction_0.1-1.tgz, r-oldrel: IndexConstruction_0.1-1.tgz


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