<div dir="ltr"><div><div><div><div><div>Hi,<br><br></div>First of all thanks a lot for putting this awesome package. I have been using it for the past one week or so for event profiling and looking at the impact of macro-economic events on various currencies.<br>
<br></div>I was going through the package manual at the link below and trying to understand other functions in the package.<br><a href="http://cran.r-project.org/web/packages/eventstudies/eventstudies.pdf">http://cran.r-project.org/web/packages/eventstudies/eventstudies.pdf</a><br>
<br></div>In particular I am trying to get my head around eesPlot function better and if I can use it in my analysis. <br></div>I am trying to analyse the FX rates of G10 currencies (wrt USD) and how they behave with the release of US economic reports (eg Monthly unemployment numbers). In other words, my response series would be daily FX rate returns for a particular currency. However, when it comes to event series, I am not really sure of what I should be using. <br>
<br></div>Following is a snippet of the file showing daily returns of different Forex rates<br><br>
<style>
<!--
BODY,DIV,TABLE,THEAD,TBODY,TFOOT,TR,TH,TD,P { font-family:"Liberation Sans"; font-size:x-small }
-->
</style>
<table cols="10" cellspacing="0" border="0">
<colgroup width="77"></colgroup>
<colgroup span="2" width="49"></colgroup>
<colgroup width="66"></colgroup>
<colgroup span="6" width="49"></colgroup>
<tbody><tr>
<td align="LEFT" height="16">Date</td>
<td align="LEFT">EUR</td>
<td align="LEFT">JPY</td>
<td align="LEFT">CHF</td>
<td align="LEFT">GBP</td>
<td align="LEFT">CAD</td>
<td align="LEFT">AUD</td>
<td align="LEFT">NZD</td>
<td align="LEFT">NOK</td>
<td align="LEFT">SEK</td>
</tr>
<tr>
<td align="LEFT" height="16">1/3/2000</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
</tr>
<tr>
<td align="LEFT" height="16">1/4/2000</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">-0.016</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">-0.001</td>
<td align="RIGHT">-0.005</td>
<td align="RIGHT">-0.009</td>
<td align="RIGHT">-0.011</td>
<td align="RIGHT">0.004</td>
<td align="RIGHT">0.01</td>
</tr>
<tr>
<td align="LEFT" height="16">1/5/2000</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">-0.011</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">0.003</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">0.004</td>
<td align="RIGHT">-0.005</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0.001</td>
</tr>
<tr>
<td align="LEFT" height="16">1/6/2000</td>
<td align="RIGHT">-0.002</td>
<td align="RIGHT">-0.01</td>
<td align="RIGHT">0.005</td>
<td align="RIGHT">0.003</td>
<td align="RIGHT">-0.007</td>
<td align="RIGHT">-0.004</td>
<td align="RIGHT">-0.005</td>
<td align="RIGHT">-0.001</td>
<td align="RIGHT">-0.002</td>
</tr>
<tr>
<td align="LEFT" height="16">1/7/2000</td>
<td align="RIGHT">-0.002</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">-0.011</td>
<td align="RIGHT">-0.006</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">0.001</td>
<td align="RIGHT">0.003</td>
<td align="RIGHT">-0.003</td>
<td align="RIGHT">-0.006</td>
</tr>
<tr>
<td align="LEFT" height="16">1/10/2000</td>
<td align="RIGHT">-0.003</td>
<td align="RIGHT">0.001</td>
<td align="RIGHT">-0.003</td>
<td align="RIGHT">-0.001</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0.001</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">-0.007</td>
<td align="RIGHT">-0.004</td>
</tr>
<tr>
<td align="LEFT" height="16">1/11/2000</td>
<td align="RIGHT">0.007</td>
<td align="RIGHT">-0.007</td>
<td align="RIGHT">0.006</td>
<td align="RIGHT">0.007</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0.003</td>
<td align="RIGHT">-0.001</td>
<td align="RIGHT">0.007</td>
<td align="RIGHT">0.006</td>
</tr>
<tr>
<td align="LEFT" height="16">1/12/2000</td>
<td align="RIGHT">-0.001</td>
<td align="RIGHT">0</td>
<td align="RIGHT">-0.002</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0.004</td>
<td align="RIGHT">-0.001</td>
<td align="RIGHT">-0.002</td>
</tr>
<tr>
<td align="LEFT" height="16">1/13/2000</td>
<td align="RIGHT">-0.005</td>
<td align="RIGHT">-0.002</td>
<td align="RIGHT">-0.006</td>
<td align="RIGHT">-0.001</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">0.015</td>
<td align="RIGHT">0.011</td>
<td align="RIGHT">0.004</td>
<td align="RIGHT">0</td>
</tr>
</tbody></table>
<br><div><br></div><div>Following is a snippet of Unemployment data. ( it is released at the end of every month). If I make a daily time series, every month from Day 1 till end of month, I will be carrying the numbers from the end of last month when new data comes in.<br>
<br>
<style>
<!--
BODY,DIV,TABLE,THEAD,TBODY,TFOOT,TR,TH,TD,P { font-family:"Calibri"; font-size:x-small }
-->
</style>
<table cols="3" cellspacing="0" border="0">
<colgroup width="107"></colgroup>
<colgroup span="2" width="80"></colgroup>
<tbody><tr>
<td align="LEFT" bgcolor="#4F81BD" height="20" valign="BOTTOM"><b><font color="#FFFFFF">Date</font></b></td>
<td align="LEFT" bgcolor="#4F81BD" valign="BOTTOM"><b><font color="#FFFFFF">Actual Line</font></b></td>
<td align="LEFT" bgcolor="#4F81BD" valign="BOTTOM"><b><font color="#FFFFFF">Survey Median Line</font></b></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">01/31/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">02/29/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4.1</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">03/31/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4.1</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">04/30/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">3.9</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">05/31/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4.1</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">3.9</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">06/30/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">07/31/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">08/31/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4.1</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">09/30/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">3.9</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4.1</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">10/31/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">3.9</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
</tbody></table>
<br></div><div>-- <br></div><div>Any assistance provided would be very helpful.<br><br><br></div><div>Thanks for your time.<br><br></div><div>Rahul<br></div><div><br><br><br><br><div><div><div><div><div>Regards,<br>Rahul<br>
Cell: 312 480 5469
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