Download Datasets from Kenneth French's Data Library
Download datasets from Kenneth French's Data Library.
French(dest.dir,
dataset = "F-F_Research_Data_Factors_CSV.zip",
weighting = "value", frequency = "monthly",
price.series = FALSE, na.rm = FALSE,
adjust.frequency = TRUE)dest.dir |
character: a path to a directory |
dataset |
a character string: the CSV file name. Also
supported are the keywords ‘ |
weighting |
a character string: |
frequency |
a character string: |
price.series |
logical: convert the returns series into prices series? |
na.rm |
logical: remove missing values in the calculation of price series? |
adjust.frequency |
logical: if |
The function downloads data provided by Kenneth
French at
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.
The download file gets a date prefix (current date in
format YYYYMMDD) and is stored in directory
dest.dir. Before any download is attempted,
the function checks whether a file with today's
prefix exist in dest.dir; if yes, the file is
used.
In the original data files, missing values are
coded as -99 or similar. These
numeric values are replaced by NA.
Calling the function without any arguments will print the names of the supported datasets (and return them insivibly).
a data.frame, with contents
depending on the particular dataset
Enrico Schumann
Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. https://www.elsevier.com/books/numerical-methods-and-optimization-in-finance/gilli/978-0-12-815065-8
Schumann, E. (2019) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual
## list all supported files
French()
## Not run:
archive.dir <- "~/Downloads/French"
if (!dir.exists(archive.dir))
dir.create(archive.dir)
French(archive.dir, "F-F_Research_Data_Factors_CSV.zip")
## End(Not run)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.