OCIDR {FTSgof} | R Documentation |
Convert Original Price Data to OCIDRs
Description
This function converts original price data into over-night cumulative intraday return curves (OCIDRs).
Usage
OCIDR(f_data)
Arguments
f_data |
A |
Value
A matrix of OCIDRs with dimensions J \times (N-1)
, where J
is the number of discrete grid points and N-1
is the adjusted sample size.
Examples
data(sp500)
OCIDR(sp500)
[Package FTSgof version 1.0.0 Index]