[R-SIG-Finance] Inhomogeneous Time Series Operator
ggrothendieck at gmail.com
Thu Feb 10 14:02:05 CET 2011
On Thu, Feb 10, 2011 at 1:42 AM, Jiwon Kim <happy.jw.kim at gmail.com> wrote:
> Hello everyone,
> I'm wondering if operators for irregulary-spaced time series are available.
> Examples are those inhomogenous operators introduced in "Operators on
> time series*<http://www.bilokon.co.uk/archive/academic/papers/finance/Zumbach2000.pdf>"
> by G. Zumbach et. al.
> It seems that all of those operators are included in S+FinMetrics for
> S-Plus, but cannot find any resources for R.
> I was thinking of reading S+FinMetrics implementation, but I don't have an
> access to S-Plus so don't know how I should proceed.
> If no package is yet available, it would be nice to get some advice from you
> experts where I should start.
You can calculate various rolling quantities using rollapply in the zoo package.
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