EventStudies

This package is made to conduct event studies in Julia.

Installation

The package is currently unregistered, so you can install directly by URL. This will change in the future!

using Pkg
Pkg.add(url = "https://github.com/xKDR/EventStudies.jl")

Usage

The main entry point is the eventstudy function, which takes in a TSFrame (from TSFrames.jl) and a vector of event times, and returns a TSFrame of the timeseries in "event time".

Here's a quick example of running

EventStudies.assetpath(...)
spr = zoo_to_tsframe(EventStudies.asset("StockPriceReturns"))
eventtime_returns_tsframe, event_success_codes = eventstudy(levels_to_returns(market_data), colnames .=> event_times, #= window width =# 4)

Models

You can provide a model in the last parameter of eventstudy, which is automatically parallelized based on how many threads you started Julia with.