[R] TSCov function from RTAQ package

Hi R Users! I am having some difficulties in using the TSCov function from RTAQ package that should calculate the two time scale realized volatility (Zhang et al, 2005). Let's suppose I have tick by tick data, let's say "aaa" and "bbb". If I write in R: /stock1=aaa$PRICE stock2=bbb$PRICE TSCov

Re: [R] creation of an high frequency series

Thank you Paul, It works. Now I will study for repeating the same code for different days. Regards, Vincent -- View this message in context: http://r.789695.n4.nabble.com/creation-of-an-high-frequency-series-tp4650850p4650898.html Sent from the R help mailing list archive at Nabble.com.

[R] creation of an high frequency series

Hi R Users! I would like to create an high frequency series but I am experiencing some difficulties. My series should start at 09.30 a.m. each day and end at 16.00 for, let's say, 2 years. I don't care on how many observations are for each day. It's ok also one observation each minute. In this ca

[R] simple question on loop

Hi R Users. I have a simple question on a loop. The following loop works fine: r_t=list() for(i in 1:500) { r_t[[i]]=h_t_half[[i]]%*%matrix(*z_t_m*[i,]) } But indeed I need also that *z_t_m* varies. Let us suppose that *z_t_m* has 1000 replicates, I have written the following loop that (natural

[R] conditional covariance matrix estimator

Hi R Users, following the work of Fleming, Kirby and Ostdiek (2001, you can find the article here ), I would like to estimate the conditional covariance matrax using an exponen

[R] a very little help with sample weights

I am a very beginner user of R. I have yet sample weights that I would like to apply to all my data set. Which function can I apply? The survey package begins from the survey design.. I have yet, in my dataset, the weights column. thanks a lot, Vincenzo -- View this message in context: http://w