ldhmm.oxford_man_ts: Get time series from Oxford-Man Realized data set

In ldhmm: Hidden Markov Model for Financial Time-Series Based on Lambda Distribution

Description

This utility returns the time series from the specific column in Oxford-Man Realized data set.

Usage

ldhmm.oxford_man_ts(symbol, column, log = FALSE, to.vol = FALSE,
  days.pa = 252)

Arguments

symbol	character, specify the index name, e.g. ".SPX".
column	character, the column name, e.g. "rv5".
log	logical, take one plus log to convert return to log-return. Default is FALSE.
to.vol	logical, take sqrt(x*252)*100 to convert variance to annualized volatility. Default is FALSE.
days.pa	a positive integer specifying number of days to annualize volatility. Default is 252.

Value

an xts object containing the time series, with dates as index

Author(s)

Stephen H. Lihn

Examples

## Not run: 
    vol <- ldhmm.oxford_man_ts(".SPX", "rv5", to.vol=TRUE)

## End(Not run)

ldhmm documentation built on Jan. 11, 2020, 9:16 a.m.