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

[R. Michael Weylandt]

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
>
>
>
>
>
> --
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>
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