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

Description Usage Arguments Examples

Description

Create dummy variables for high-frequency intraday seasonality.

Usage

1
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

1
x=hfDummy(5,Fopen=4,Tend=4,days=2,skipmin=15)

NTS documentation built on Aug. 6, 2020, 5:08 p.m.

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