[R] looking for an add-in for daily data analysis

[and_mue]

Hi all

I am looking for an add-in. I am currently working on something and I use
daily data of closing stock prices. As not all companies are traded daily
(e.g. on monday, then on thursday etc) at the stock exchange, there is
satistically a problem. There are some papers which explain the approach to
handle infrequent trading of a stock or non synchronous data and beta
estimation (Dimson, 1979; Scholes & Williams, 1977). I looked for add-ins
which do address this topic, but i couldn't find any.

I have to calculated daily returns from the daily colsing stock prices.
Afterwards I want to estimate the alphas and betas of the market model for a
given timeperiod. Then I calculate abnormal returns and CAR's and assess
their significance (event study methodology with the market model). 

Does someone have any idea on how I should handle these problems or a link
for an appropriate package? For implementing these statistics on my own, I
knowledge in R is not sufficient.

Kind Regards
AM

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