Synchronize Time Series (Scripts) Publisher's description
from Semin Ibisevic
When drawing financial time series from various markets, one usually needs to make some adjustments before evaluating the series.
When drawing financial time series from various markets, one usually needs to make some adjustments before evaluating the series. One of the major concerns is that due to different national holidays or working days across countries, the dates happen to be not synchronized. Clearly this could make the evaluation process of the researcher biased. This package provides a solution for this concern.
Missing values can be replaced by several interpolation methods including:
Linear, Linear with extrapolation, Cubic, Cubic with extrapolation, Spline, Spline with extrapolation, Nearest, Nearest with extrapolation, Pchip, Pchip with extrapolation (See interp1 for a discussion of extrapolation).
Other methods are:
- Fill the empty value with a constant
- Replace the missing value with the value preceding it. If the first value in the time series is missing, it remains a NaN.
A more extensive description for applying these interpolation can be found in the included files.
System Requirements:MATLAB 7.11 (2010b)
Program Release Status: New Release
Program Install Support: Install and Uninstall