search for: aggregateseries

Hi all I have some tick-by-tick data and I have calculated the intraday returns. I want to sum up the intraday squared returns to calculate the daily volatility(or daily variance). I know that the s-plus FinMerics has the function aggregateSeries function that can be apply to daily data: aggregateSeries(x, Fun, by="daily"), but the counterpart function in R:applySeries can not be apply to daily data. This function has the argument by=c("monthly", "quartly"). Can we find some way to mimic the aggregateSeries fu...

What package is aggregateSeries in? It is referred to in the fCalendar document but I do not see it in the package.

hi to all! (Q1): I'd like to ask where can i find aggregateSeries and seriesData in R packages? (Q2): how can i perform these Splus commads in R? e.g. annualMax.sp500 = aggregateSeries(-spto87,by="years",FUN=max) hist(seriesData(annualMax.sp500)) (Q3): is the method of probability-weighted moments available in evir package?...

> S-Plus has the function AggregateSeries() whose name is self > explanatory. For instance one can derive monthly series from daily > ones by specifying end-of-period, averages, sums, etc. I looked for > a similar function in the packages "its" and "tseries", but found > nothing. I also help.searched() fo...

...uggests that I have done something correctly. Two questions: (1) how to implement annual blocks and compute e.g. annual max, min and mean of y (each year's max, min, mean)? (2) how to apply POSIX variables with the 'block' argument in gev in the evir package? The S+FinMetrics function aggregateSeries does the job in that module; but I do not know, how handle it in R. My guess is that (1) is done by using the function aggregate, but how to define the 'by' argument with POSIX variables? Thanks! Hannu Kahra Progetti Speciali Monte Paschi Asset Management SGR S.p.A. Via San Vittore, 37...