Re: [R] Manipulation in timeSeries object:how to use the function "applySeries" by daily?

From: stephen sefick <ssefick_at_gmail.com>
Date: Tue, 11 Nov 2008 10:00:24 -0500

take a look at aggregate.zoo in the zoo package good luck

Stephen

On Mon, Nov 10, 2008 at 9:57 PM, tedzzx <zengzhenxing_at_gmail.com> wrote:
>
> Hi all
> I have some tick-by-tick data and I have calculated the intraday returns. I
> want to sum up the intraday squared returns to calculate the daily
> volatility(or daily variance). I know that the s-plus FinMerics has the
> function aggregateSeries function that can be apply to daily data:
> aggregateSeries(x, Fun, by="daily"), but the counterpart function in
> R:applySeries can not be apply to daily data. This function has the argument
> by=c("monthly", "quartly").
> Can we find some way to mimic the aggregateSeries function in s-plus?
>
> Thanks in advance
>
> Ted
> --
> View this message in context: http://www.nabble.com/Manipulation-in-timeSeries-object%3Ahow-to-use-the-function-%22applySeries%22-by-daily--tp20432658p20432658.html
> Sent from the R help mailing list archive at Nabble.com.
>
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-- 
Stephen Sefick
Research Scientist
Southeastern Natural Sciences Academy

Let's not spend our time and resources thinking about things that are
so little or so large that all they really do for us is puff us up and
make us feel like gods.  We are mammals, and have not exhausted the
annoying little problems of being mammals.

								-K. Mullis

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Received on Tue 11 Nov 2008 - 15:03:44 GMT

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