[R-SIG-Finance] time series question

Gabor Grothendieck ggrothendieck at gmail.com
Wed Jul 16 17:47:15 CEST 2008

Its not clear from your question what "time series" package refers to
as there are many such packages in R but if your series is a ts series
then see ?aggregate.ts and if its a zoo series see ?aggregate.zoo .
The latter has specific examples of monthly and quarterly aggregations.
Jeff has already mentioned xts and for the fame package see ?convert

On Wed, Jul 16, 2008 at 7:55 AM, Yalla, Swaroop (FID)
<Swaroop.Yalla at morganstanley.com> wrote:
> I am using the time series package and have a regularly spaced daily
> time-series. How do I convert it to a monthly or quarterly time-series
> (i.e. up-sample the time series). Is there a method to do that??
> Also, as a side questions - what is the best method to find maximum
> correlation between two time-series, one of which lags the other.
> thanks
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