Econometrics

Return calculation

disc2log(tm::AbstractTimenum; percent = false)

Convert discrete net returns to logarithmic returns.

log2disc(tm::AbstractTimenum; percent = false)

Convert logarithmic returns to discrete net returns.

price2ret(tm::AbstractTimematr; log = true)

Convert prices to returns.

price2ret(tn::AbstractTimenum; log = true)

Convert prices to returns with possibly occurring missing observations (NAs).

ret2price(tm::AbstractTimematr; log = true)

Convert returns to prices.

ret2price(tn::AbstractTimenum; log = true)

Convert returns to prices with possibly occurring missing observations (NAs).