[R-SIG-Finance] TAQ data and Eric Zivot's HF Library

[Brian G. Peterson]

On Thursday 15 February 2007 02:12 pm, Panov, Evgeny [CIB-EQTY] wrote:

> Did anybody try to look at co-skewnesses for stocks for different
> sampling frequencies? 
> (i.e. 1-week as opposed to 1-day as opposed to 5-minutes) 

I realized that no one responded to this post.

We had previously released functions for the co-moments to this list, and 
CoSkewness is included in the code we released as the 
PerformanceAnalytics package this week.

You could use wavelets (via the package waveslim) or the aggregate 
function from zoo to construct the series for the various frequencies 
that you want to analyze.

Regards,

   - Brian

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