remap.event.reindex
(Package: eventstudies) :
This function sets the value at event date to be 100 and the other values relative to this value.
A function which consumes a zoo object where there are lots of events (as columns). The contents are all levels. For each column, the event date value is set to 100 and all other values are scaled accordingly. It's input is a zoo object which is the first component of the list returned by phys2eventtime.
● Data Source:
CranContrib
● Keywords:
● Alias: remap.event.reindex
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This function gives the cumulative total of the values.
● Data Source:
CranContrib
● Keywords:
● Alias: remap.cumsum
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This function returns the geometric returns for a given zoo object.
● Data Source:
CranContrib
● Keywords:
● Alias: remap.cumprod
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Given a zoo time-series vector and an event date, it converts the physical date to the event date. The event date becomes zero and all other dates shift accordingly.
● Data Source:
CranContrib
● Keywords: phys2eventime
● Alias: phys2eventtime
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This function does bootstrap inference to generate distribution of average of all the cumulative returns time-series.
● Data Source:
CranContrib
● Keywords:
● Alias: inference.Ecar
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This package is used to undertake event study analysis using R.
● Data Source:
CranContrib
● Keywords: eventstudies
● Alias: eventstudy
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This function generates an extreme event study plot by marking extreme events and fusing clustered events together. It plots event study plot for lower tail and upper tail events. Tail events are defined as per given probability value. The value of the event series and response series should be in returns.
● Data Source:
CranContrib
● Keywords:
● Alias: eesPlot
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This function identifies the extreme events from a time series. It also generates summary statistics for clustered and unclustered extreme event distribution.
● Data Source:
CranContrib
● Keywords:
● Alias: ees
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