hfDummy: Create Dummy Variables for High-Frequency Intraday...

In NTS: Nonlinear Time Series Analysis

Create Dummy Variables for High-Frequency Intraday Seasonality

Description

Create dummy variables for high-frequency intraday seasonality.

Usage

hfDummy(int = 1, Fopen = 10, Tend = 10, days = 1, pooled = 1, skipmin = 0)

Arguments

int	length of time interval in minutes.
Fopen	number of dummies/intervals from the market open.
Tend	number of dummies/intervals to the market close.
days	number of trading days in the data.
pooled	a logical value indicating whether the data are pooled.
skipmin	the number of minites omitted from the opening.

Examples

x=hfDummy(5,Fopen=4,Tend=4,days=2,skipmin=15)

NTS documentation built on Sept. 25, 2023, 1:08 a.m.