Hello Alexander
I doubt that such an analyis is very useful as the data is not sampled
synchronously (equity close in the US for ^gspc and even that is not
always at the same time, some average price from Oanda data). Also fx
data from others sources as suggested in another mail on this list would
not really help with this unless it is really sampled at exactly the
same times as the equity close of ^gspc. The only way to get clean data
for such an analysis is to use intraday data.
Best regards
Adrian
>Message: 1
>Date: Sun, 14 Oct 2007 15:00:15 -0500
>From: Alexander Moreno <alexander.f.moreno at gmail.com>
>Subject: [R-SIG-Finance] oanda and yahoo get.hist.quote
>To: r-sig-finance at stat.math.ethz.ch
>Message-ID: <4712754F.6000203 at gmail.com>
>Content-Type: text/plain; charset=ISO-8859-1; format=flowed
>
>Hi,
>
>I have S&P index data (^gspc) that I got from get.hist.quote from yahoo,
>and fx data from the same function from Oanda. The Oanda data has
>7-days, and the S&P data has 5. Anyone know how to get them to match up
>for the same time period?
>
>Best,
>Alex
>
>
>
>
>
--
Adrian Trapletti
Wildsbergstrasse 31
8610 Uster
Switzerland
Phone : +41 (0) 44 9945630
Mobile : +41 (0) 76 3705631
Email : a.trapletti at swissonline.ch
