how to match daily returns ?

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jean claude
jean claude 2017년 2월 6일
답변: Rik 2017년 2월 9일
hello everyone, i have the dependent variable with daily returns y (1 column ), in the other hand daily returns for the independant variable x (1 column of daily returns). How to pick daily returns from x corresponding to y ( so must have same date) because daily returns could be missing some days in x and assign nan for the missing days in such way to make linear regression!
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jean claude
jean claude 2017년 2월 9일
yep John, example y=[01012000 02012000 03012000, 100 200 300]; x=[02012000 05012000 07012000, 3 5 6]; so to regress y on x i would have x=[nan 3 nan] because in 2 january 2000 it matchs, then i can regress y=[100 200 300] on x=[nan 3 nan]. my problem is to construct variable x (i think unique could help)

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Rik
Rik 2017년 2월 9일
So you have two datasets that are sampled over time that you need to resample over a common/matched timeframe? Am I understanding you correctly?
I had something that sounded similar, but my data had different millisecond timestamps. I used interp1 to interpolate to a timestampvector, which would look something like this:
t=unique([y(1,:) x(1,:)]);
y2=interp1(y(1,:),y(2,:),t);
x2=interp1(x(1,:),x(2,:),t);
plot(x2,y2)
And then you can do all the fancy fitting you wish. You need to convert those dates into something that increments normally. I bet 2 second of google will result in a FEX submission that does that for you.

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