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lmtp
2012 Jul 12
0
HAR-RV-CJ Moedel
...Y %H:%M");
dollar$day = format(tim, "%Y-%m-%d");
##ddx <- row index for each day
ddx = split(seq.int(nrow(dollar)), dollar$day);
dollarbns = data.frame(day=as.Date(names(ddx)), m=NA, rtn=NA, rv=NA, bv=NA,
zg=NA, lzg=NA, zj=NA, zmj=NA, lzm=NA, zgtp=NA, lzgtp=NA, zmjtp=NA, zjtp=NA,
lzmtp=NA);
for (i in seq_along(ddx)) {
##quotes for day i
x = dollar$mid[ddx[[i]]];
n = length(x);
y = log(x[-1]/x[-n]);#log price difference
y2 = y^2
m = length(y);
z999 = (qnorm(1 - .001))
if (m>=260) {
##raw moments
rtn = sum(y) * 100
rv = sum(y*y);#realized variance [...