Message-ID: <1354267848359-4651402.post@n4.nabble.com>
Date: 2012-11-30T09:30:48Z
From: billycorg
Subject: TSCov function from RTAQ package
Hi R Users!
I am having some difficulties in using the TSCov function from RTAQ package
that should calculate the two time scale realized volatility (Zhang et al,
2005).
Let's suppose I have tick by tick data, let's say "aaa" and "bbb".
If I write in R:
/stock1=aaa$PRICE
stock2=bbb$PRICE
TSCov(list(stock1,stock2))/
The result is: /Error in var[i] : object of type 'closure' is not
subsettable/
Instead, if I write:
/TSCov(stock1,stock2)/
I obtain a single value and not a 2X2 matrix (one for each day).
I would only want to obtain a 2x2 matrix per day.
Where is my error? It would be sufficient an example of correct syntax! :)
Thank you,
Vincent
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