Hi R Users! I am having some difficulties in using the TSCov function from RTAQ package that should calculate the two time scale realized volatility (Zhang et al, 2005). Let's suppose I have tick by tick data, let's say "aaa" and "bbb". If I write in R: /stock1=aaa$PRICE stock2=bbb$PRICE TSCov(list(stock1,stock2))/ The result is: /Error in var[i] : object of type 'closure' is not subsettable/ Instead, if I write: /TSCov(stock1,stock2)/ I obtain a single value and not a 2X2 matrix (one for each day). I would only want to obtain a 2x2 matrix per day. Where is my error? It would be sufficient an example of correct syntax! :) Thank you, Vincent -- View this message in context: http://r.789695.n4.nabble.com/TSCov-function-from-RTAQ-package-tp4651402.html Sent from the R help mailing list archive at Nabble.com.