take a look at aggregate.zoo in the zoo package
good luck
Stephen
On Mon, Nov 10, 2008 at 9:57 PM, tedzzx [EMAIL PROTECTED] wrote:
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
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:
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