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sample_data
2012 Apr 20
0
Select interval of time series object by date and time
...orian wrote
>
> Hy,
>
> I want to select 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...