Displaying 2 results from an estimated 2 matches for "makereturns".
2012 Apr 20
0
Select interval of time series object by date and time
...an interval of a time series (containing intraday data)
> by the data and a certain time frame (e.g. 9 AM to 10 AM). However, I do
> not know how to specify the time during the day:
>
> #load data
> library(RTAQ)
> data("sample_tdata")
> data=sample_tdata
> return=makeReturns(data$PRICE)
>
> #I would like to use some command like this to get only the data between 9
> and 10
> window(return,start=as.Date("2008-01-04"),end=as.Date("2008-01-04"))
>
> Thank you very much in advance
> Florian Walla
> University Groningen
>
I...
2012 Jul 19
1
Switching log(J) to log(J+1) to avoid log(0) in HAR-RVJ model
...NULL, regular=TRUE,
header=TRUE, index.column=1, colClasses=c("character",
"numeric"))
dat <- as.xts(dat)
## cleaned data here to get
daylist <- lapply(split(dat, "days"), function(x) {
if(NROW(x) >= 10) x
})
do.call(rbind, daylist) -> dat
makeReturns(dat) -> dat
the code I am running to get the HAR regressions (full code for it shown
below) is
x = harModel(dat, periods = c(1,5,22), periodsJ=c(1), RVest =
c("RCov","RBPCov"),
type="HARRVJ", h=5, transform="log") ; # Estimate the HAR model...