[R] TSCov function from RTAQ package

[billycorg]

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(list(stock1,stock2))/

The result is: /Error in var[i] : object of type 'closure' is not
subsettable/

Instead, if I write:

/TSCov(stock1,stock2)/

I obtain a single value and not a 2X2 matrix (one for each day).

I would only want to obtain a 2x2 matrix per day.

Where is my error? It would be sufficient an example of correct syntax! :)

Thank you, 
Vincent





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