[R-SIG-Finance] aligning xts object to regularly spaced time clock

Gabor Grothendieck ggrothendieck at gmail.com
Tue Jun 22 03:48:35 CEST 2010

On Mon, Jun 21, 2010 at 8:09 PM, Eric Zivot <ezivot at u.washington.edu> wrote:
> I am trying to align an xts object containing irregularly spaced intra-day
> price data to a regularly spaced time clock so that I can do realized
> variance/covariance calculations. For example, I have two xts objects
> msftTrades and geTrades created by the RTAQ package (the time index variable
> is a timeDate object) :

xts has to.period but I will also mention that zoo FAQ #13 has
examples of three different techniques and ?na.locf has a further
example using zoo.

More information about the R-SIG-Finance mailing list