Displaying 1 result from an estimated 1 matches for "finmer".
Did you mean:
finger
2008 Nov 11
2
Manipulation in timeSeries object:how to use the function "applySeries" by daily?
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...