[R-SIG-Finance] [R] TSCov function from RTAQ package

R. Michael Weylandt michael.weylandt at gmail.com
Fri Nov 30 15:01:36 CET 2012


Forwarding to the correct mailing list.

MW

On Fri, Nov 30, 2012 at 9:30 AM, billycorg <candilav at gmail.com> wrote:
> 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
>
>
>
>
>
> --
> View this message in context: http://r.789695.n4.nabble.com/TSCov-function-from-RTAQ-package-tp4651402.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.



More information about the R-SIG-Finance mailing list