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

In ConvFuncTimeSeries/test_t: Nonlinear time series analysis

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)

ConvFuncTimeSeries/test_t documentation built on May 29, 2019, 1:39 p.m.