cidr: Compute (Overnight) Cumulative Intraday Returns

In fChange: Functional Change Point Detection and Analysis

Compute (Overnight) Cumulative Intraday Returns

Description

Compute (Overnight) Cumulative Intraday Returns

Usage

cidr(X)

ocidr(X)

Arguments

X	A dfts object or data which can be automatically converted to that format. See dfts().

Value

A dfts object with CIDR or OCIDRs

References

Rice, G., Wirjanto, T., & Zhao, Y. (2023). Exploring volatility of crude oil intraday return curves: A functional GARCH-X model. Journal of Commodity Markets, 32, 100361-.

Examples

tmp <- dfts(SPYUS500$data[, 1:100],
  name = "SP500 100 Days",
  labels = SPYUS500$labels[1:100], fparam = SPYUS500$fparam
)
cidr(tmp)
tmp <- dfts(SPYUS500$data[, 1:100],
  name = "SP500 100 Days",
  labels = SPYUS500$labels[1:100], fparam = SPYUS500$fparam
)
ocidr(tmp)

fChange documentation built on June 21, 2025, 9:08 a.m.