Description Usage Arguments Examples
Create dummy variables for high-frequency intraday seasonality.
1 2 | hfDummy(int = 1, Fopen = 10, Tend = 10, days = 1, pooled = 1,
skipmin = 0)
|
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. |
1 | x=hfDummy(5,Fopen=4,Tend=4,days=2,skipmin=15)
|
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