EventStudy: AVyCApplicationInput – R documentation

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AVyCApplicationInput

Abnormal Volatility Calculation Parameters

Description

This R6 class defines the parameters for the Abnormal Volatility Volume 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

AVyCApplicationInput

Format

R6Class object.

Value

a ESTParameters R6 object

Methods

$new(): Constructor for AVyCApplicationInput
$setEMail(eMail): Set the e-Mail address for reporting. This functionality is currently not working.
$setBenchmarkModel(model = 'mm'): Setter for the benchmark models
$setReturnType(returnType): Setter for the return type (log or simple)
$setTestStatistics(testStatistics): Setter for the test statistics. Per default all available test statistics are applied. You may find all test statistics in the vignette 'parameter_eventstudy'

Arguments

AVyCApplicationInput: An AVyCApplicationInput 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
avycParams <- AVyCApplicationInput$new()

# set test statistics
avycParams$setTestStatistics(c("aarptlz", "aarrankz"))

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

# Perform Event Study
estSetup$performEventStudy(estParams = avycParams, 
                           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