remove_bounceback: Remove bounceback outliers
In YalDan/hf.econometrics: High Frequency Econometrics
View source: R/remove_bounceback.R
remove_bounceback R Documentation
Remove bounceback outliers
Description
Helper function to remove bounceback outliers.
Usage
remove_bounceback(DATA, BOUNCE_CUTOFF = 0.001, IMPUTATION = FALSE)
Arguments
DATA
A data.table with structure as provided in the example.
BOUNCE_CUTOFF
The threshold of log return size for which bounceback outliers should be removed. Defaults to 0.001, s.t. smaller returns are not checked for bounceback outliers.
IMPUTATION
Should missing values be imputed? If TRUE, then na.locf will be used. Defaults to FALSE.
Value
Returns the data without bounceback outliers.
YalDan/hf.econometrics documentation built on May 10, 2024, 2:18 a.m.
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View source: R/remove_bounceback.R
| remove_bounceback | R Documentation |
Remove bounceback outliers
Description
Helper function to remove bounceback outliers.
Usage
remove_bounceback(DATA, BOUNCE_CUTOFF = 0.001, IMPUTATION = FALSE)
Arguments
DATA |
A data.table with structure as provided in the example. |
BOUNCE_CUTOFF |
The threshold of log return size for which bounceback outliers should be removed. Defaults to 0.001, s.t. smaller returns are not checked for bounceback outliers. |
IMPUTATION |
Should missing values be imputed? If TRUE, then |
Value
Returns the data without bounceback outliers.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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