EventStudy: ARCApplicationInput – R documentation

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ARCApplicationInput

Abnormal Return Calculation Parameters

Description

This R6 class defines the parameters for the Return Event Study. We recommend to use the set functionality to setup your Event Study, as we check input parameters.

For more details see the help vignette: vignette("parameters_eventstudy", package = "EventStudy")

Usage

ARCApplicationInput

Format

An object of class R6ClassGenerator of length 24.

Value

a ESTParameters R6 object

Methods

$new(): Constructor for ARCApplicationInput.
$setEMail(eMail): Set the e-Mail address for reporting. This functionality is currently not working.
$setBenchmarkModel(model = 'mm'): Setter for the benchmark model.s
$setReturnType(returnType): Setter for the return type (log or simple)
$setTestStatistics(testStatistics): Setter for the test statistics.

Arguments

ESTARCParameters: An ARCApplicationInput object
eMail: An E-Mail address in String format
model: A benchmark model in String format
returnType: A return type in String format
testStatistics: A String vector with test statistics.

Examples

## Not run: 
# get files for our S&P500 example; 3 files are written in the current 
# working directory
getSP500ExampleFiles()

# Generate a new parameter object
arcParams <- ARCApplicationInput$new()

# set test statistics
arcParams$setBenchmarkModel("garch")

# Setup API object
apiKey <- "{Your API key}"
estSetup <- EventStudyAPI$new()
estSetup$authentication(apiKey)

# Perform Event Study
estSetup$performEventStudy(estParams = arcParams, 
                           dataFiles = c("request_file" = "01_RequestFile.csv",
                                         "firm_data"    = "02_firmData.csv",
                                         "market_data"  = "03_marketData.csv"))

# Download task results and save them in the actiual working directory
estSetup$getTaskResults()

## End(Not run)

EventStudy

Event Study Analysis

v0.36

GPL (>= 2)

Authors

Dr. Simon Mueller

Initial release

2019-03-05