Dear R helpers, I am interested in doing an overlapping moving block bootstrap (Davinson and Hinkley(1997)) on financial market data using R.
I have daily stock returns and have tried ( unsuccessfully using sample and boot function) to create a sample containing consecutive "trading days" For example i want to sample data from a return series x days forward when an event(binary) occurs. Also, has anyone programmed the 'omega' function used by some funds to rank returns using cdf's and comparing areas under two return curves for a mutual fund? Any help is greatly appreciated. Thank you , S Viswanath ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
