extractData {FatTailsR}

Datasets dfData, mData, tData, xData, zData, extractData : extractData

Description

dfData, mData, tData, xData, zData are datasets made of lists of data.frame, matrix, timeSeries, xts and zoo components. They describe prices and returns of 10 financial series used in the documents and demos presented at 8th and 9th R/Rmetrics conferences (2014, 2015). See the references. The last serie (CHF, interest rates in Switzerland) exhibits negative prices. All distributions of logreturns exhibit fat tails. Function extractData converts subsets of mData, tData, xData, zData.

Usage

extractData(pr = "p", ft = "tss", start = "2007-01-01",
  end = "2013-12-31")

Arguments

pr

character. Extract prices or returns: c("p","r","prices","returns").

ft

character. Output format among c("tss","xts","zoo","dfr","bfr","mat").

start

character. Start date.

end

character. End date.

Examples

   

library(zoo) 
library(xts) 
library(timeSeries) 

### dfData, tData, xData, zData : prices only
attributes(dfData); attributes(tData); attributes(xData); attributes(zData) 
lapply(dfData, head, 3)
lapply( mData, head, 3)
lapply( tData, head, 3)
lapply( xData, head, 3)
lapply( zData, head, 3)

### extractData : prices and logreturns
head(ptD <- extractData("p", "tss", "2009-01-01", "2012-12-31")) ; tail(ptD)
head(rtD <- extractData("r", "tss")) 
head(pxD <- extractData("p", "xts")) 
head(rxD <- extractData("r", "xts")) 
head(pzD <- extractData("p", "zoo")) 
head(rzD <- extractData("r", "zoo")) 
head(pbD <- extractData("p", "bfr")) 
head(rbD <- extractData("r", "bfr")) 
head(pmD <- extractData("p", "mat")) 
head(rmD <- extractData("r", "mat")) 

### Remove item CHF (negative prices) from dfData, tData, xData, zData
Z <- dfData[names(dfData)[1:9]]; attributes(Z)
Z <- tData[names(tData)[1:9]]; attributes(Z)
Z <- xData[names(xData)[1:9]]; attributes(Z)
Z <- zData[names(zData)[1:9]]; attributes(Z)