IndexConstruction: Index Construction for Time Series Data

Derivation of indexes for benchmarking purposes. A methodology with flexible number of constituents is implemented. Also functions for market capitalization and volume weighted indexes with fixed number of constituents are available. The main function of the package, indexComp(), provides the derived index, suitable for analysis purposes. The functions indexUpdate(), indexMemberSelection() and indexMembersUpdate() are components of indexComp() and enable one to construct and continuously update an index, e.g. for display on a website. The methodology behind the functions provided gets introduced in Trimborn and Haerdle (2018) <doi:10.1016/j.jempfin.2018.08.004>.

Version: 0.1-3
Depends: R (≥ 2.10)
Imports: KernSmooth, fGarch, lubridate, xts, RcppBDT, zoo
Published: 2020-06-02
DOI: 10.32614/CRAN.package.IndexConstruction
Author: Simon Trimborn
Maintainer: Simon Trimborn <trimborn.econometrics at>
License: GPL (≥ 3)
NeedsCompilation: no
Citation: IndexConstruction citation info
CRAN checks: IndexConstruction results


Reference manual: IndexConstruction.pdf


Package source: IndexConstruction_0.1-3.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): IndexConstruction_0.1-3.tgz, r-oldrel (arm64): IndexConstruction_0.1-3.tgz, r-release (x86_64): IndexConstruction_0.1-3.tgz, r-oldrel (x86_64): IndexConstruction_0.1-3.tgz
Old sources: IndexConstruction archive


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