ExchangeHoursOnly: Extract data from an xts object for the Exchange Hours Only
In highfrequency: Tools for Highfrequency Data Analysis
Description
Usage
Arguments
Value
Author(s)
References
Description
The function returns data within exchange trading hours
"daybegin" and "dayend". By default, daybegin and dayend
are set to "09:30:00" and "16:00:00" respectively (see Brownlees and Gallo (2006) for more information on good choices for these arguments).
Usage
1
exchangeHoursOnly(data, daybegin = "09:30:00", dayend = "16:00:00")
Arguments
data
an xts object containing the time series data.
daybegin
character in the format of "HH:MM:SS",
specifying the starting hour, minute and second of an exhange
trading day.
dayend
character in the format of "HH:MM:SS",
specifying the closing hour, minute and second of an exhange
trading day.
Value
xts object
Author(s)
Jonathan Cornelissen and Kris Boudt
References
Brownlees, C.T. and Gallo, G.M. (2006).
Financial econometric analysis at ultra-high frequency: Data handling concerns.
Computational Statistics & Data Analysis, 51, pages 2232-2245.
highfrequency documentation built on May 2, 2019, 6:09 p.m.
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Description Usage Arguments Value Author(s) References
Description
The function returns data within exchange trading hours "daybegin" and "dayend". By default, daybegin and dayend are set to "09:30:00" and "16:00:00" respectively (see Brownlees and Gallo (2006) for more information on good choices for these arguments).
Usage
1 | exchangeHoursOnly(data, daybegin = "09:30:00", dayend = "16:00:00")
|
Arguments
data |
an xts object containing the time series data. |
daybegin |
character in the format of "HH:MM:SS", specifying the starting hour, minute and second of an exhange trading day. |
dayend |
character in the format of "HH:MM:SS", specifying the closing hour, minute and second of an exhange trading day. |
Value
xts object
Author(s)
Jonathan Cornelissen and Kris Boudt
References
Brownlees, C.T. and Gallo, G.M. (2006). Financial econometric analysis at ultra-high frequency: Data handling concerns. Computational Statistics & Data Analysis, 51, pages 2232-2245.
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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