Justin M. Shea
Justin M. Shea
Check all data transforms in the sandbox/CRSP folder. switch transforms to xts and related functions if needed in `freqChange.R`. Recreate data sets created and marked with "Dan's code" if needed....
Need more robust documentation of data sets "benefits", "beveridge", "happiness", and "hprice3". These were missing from my copy of Wooldridges` Data Set Handbook.
Reduce the size and scope of the vignette to a handful of interesting examples, with better workflows Considering eliminating it altogether, and reducing package size and suggested packages in the...
Per @braverock "Lets get a working example into a new vignette no later than tomorrow". "Value and momentum everywhere". Asness, Moskowitz, Pedersen (2013). https://www.aqr.com/Insights/Research/Journal-Article/Value-and-Momentum-Everywhere ### Code - We can ignore...
Found in found in inst/parsers. See [_About the AQR Data Library_](https://www.aqr.com/Insights/Datasets/About-the-AQR-Data-Library) for details, specifically: > It is important for users of the AQR data sets to understand that all data...
### Data Scattered about the AQR data page of their website. Go through, pull it together. ### Background: _[Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A...
## Paper & Data Link to [NBER paper _Commodities for the Long Run_](https://www.nber.org/papers/w22793) Parser for long run [commodity index data](https://github.com/JustinMShea/ExpectedReturns/blob/master/inst/parsers/Commodities-for-the-Long-Run.R) Parser containing long-term [equity index data](https://github.com/JustinMShea/ExpectedReturns/blob/master/inst/parsers/Shiller_CAPE.R) ## Figure(s) 1: Cumulative...
As this package relies heavily on FactorAnalytics, we will also help move their tests this framework as well. https://github.com/braverock/FactorAnalytics/issues/20