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Jun 17th, 2019
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  1. library(xts)
  2. library(dplyr)
  3. library(quantmod)
  4. library(PerformanceAnalytics)
  5. library(readxl)
  6. library(zoo)
  7. date.end.month <- seq(as.Date("1927-04- 01"),length=1108,by="months")-1
  8. idx1<-data.frame(date.end.month)
  9. idx1$B<-as.factor(idx1$date.end.month)
  10. idx1$B<-as.numeric(idx1$B)
  11. idx2<-as.xts(idx1$B, order.by = idx1$date.end.month)
  12. T<-as.xts(FF4FShort$T,order.by = FF4FShort$date)
  13. Y<-merge.xts(idx2,T)
  14. Tendofmonth<-Y[complete.cases(Y),2]
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