Econometrics¶
Return calculation¶
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disc2log
(tm::AbstractTimenum; percent = false)¶ Convert discrete net returns to logarithmic returns.
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log2disc
(tm::AbstractTimenum; percent = false)¶ Convert logarithmic returns to discrete net returns.
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price2ret
(tm::AbstractTimematr; log = true)¶ Convert prices to returns.
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price2ret
(tn::AbstractTimenum; log = true) Convert prices to returns with possibly occurring missing observations (NAs).
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ret2price
(tm::AbstractTimematr; log = true)¶ Convert returns to prices.
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ret2price
(tn::AbstractTimenum; log = true) Convert returns to prices with possibly occurring missing observations (NAs).