[Uwgarp-commits] r35 - pkg/GARPFRM/vignettes
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Dec 2 01:06:35 CET 2013
Author: tfillebeen
Date: 2013-12-02 01:06:33 +0100 (Mon, 02 Dec 2013)
New Revision: 35
Modified:
pkg/GARPFRM/vignettes/CAPM_TF.Rnw
pkg/GARPFRM/vignettes/CAPM_TF.pdf
Log:
CAPM_TF DM changes
Modified: pkg/GARPFRM/vignettes/CAPM_TF.Rnw
===================================================================
--- pkg/GARPFRM/vignettes/CAPM_TF.Rnw 2013-12-01 21:33:31 UTC (rev 34)
+++ pkg/GARPFRM/vignettes/CAPM_TF.Rnw 2013-12-02 00:06:33 UTC (rev 35)
@@ -57,7 +57,7 @@
\tableofcontents
\section{Fitting CAPM}
-\subsection{Extracting and Organizing Data}
+\subsection{Selected Returns Time Series}
<<ex1>>=
# 'Load the GARPFRM package and the CAPM dataset.
suppressMessages(library(GARPFRM))
@@ -69,22 +69,20 @@
colnames(stock.df)
@
+
+Summarize the first and last data values corresponding to the first 5 dates for the first 5 returns.
<<ex2>>=
-# Estimate a zooreg object: regularly spaced zoo object
-stock.z = zooreg(stock.df, start=c(1997, 1),
- end=c(2001,12), frequency=12)
-index(stock.z) = as.yearmon(index(stock.z))
-# Summarize start, end, and number of rows
-start(stock.z)
-end(stock.z)
-nrow(stock.z)
+head(stock.df[,1:5])
+tail(stock.df[,1:5])
+# Count the number of rows
+nrow(stock.df)
@
\subsection{Estimate Excess Returns}
Estimate excess returns: subtracting off risk-free rate.
To strip off the dates and just return a plain vector/matrix coredata() can be used.
<<ex3>>=
# as.data.frame to check if an object is a data frame, or coerce it if possible.
-returns.mat = as.matrix(coredata(stock.z))
+returns.mat = coredata(stock.df)
exReturns.mat = returns.mat - returns.mat[,"t90"]
exReturns.df = as.data.frame(exReturns.mat)
@
Modified: pkg/GARPFRM/vignettes/CAPM_TF.pdf
===================================================================
--- pkg/GARPFRM/vignettes/CAPM_TF.pdf 2013-12-01 21:33:31 UTC (rev 34)
+++ pkg/GARPFRM/vignettes/CAPM_TF.pdf 2013-12-02 00:06:33 UTC (rev 35)
@@ -1,66 +1,71 @@
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-ÒÏfÇú£çHÔKO쩸ñA ¯è¥TéÓÅW¯Pð¢ásTsºÊ¨¿¡RÖêtÌU8¿öú«õXbç¯ßÚiÆóÛ¶]²ùÎ77t hDV$¹DQI:Ïk¯y'ª¹µýgÜZô¬h¥Sϲ2×üü´u¸¸êJ=ÔoüTºµ[b¾åzbT³vöv 4'pÕàîiÂ%[תû·Î~Î4ï/:õ8åO£ßCF7oݲ-ÃeÄTÆJæ¿£ÞtÝ*Ä °¸àöͨ@ésâ bÛ¡dºÇQHÒ¾á[F7\x;|P~èý\$~ ø¢4ðë %èï×»¿koh3[ûLéÏ»=E§pX×&(ÖY?esG5fæNÚ!ÕµÕFÿݧ¬&"²ãgë
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-× ËÎZô'Â\87]µYèRÜ<d!p$D ¨ (a"áç§m&É-wcVóÇ¢Ö$o'87ûÈ]hû2ú²wÓkM/WÚÔbL
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-/ÿè̹±i¯!}f)£äÔôE#Ñ?è8TçØÀÄ´hÝvÁìC¹ó²Gì!åªã~àxRÌøþCÇÒ/cj#â¸O3U_Ín~ùåíáîFô5ccÞÂÄê@ô0J_o,¸#3JÌJ$X½ã(YÚMÐ6
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[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/uwgarp -r 35
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