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aligning xts object to regularly spaced time clock

Dirk Eddelbuettel
On 22 June 2010 at 02:50, Achim Zeileis wrote:
| On Mon, 21 Jun 2010, Eric Zivot wrote:
| 
| > I am trying to align an xts object containing irregularly spaced intra-day
| > price data to a regularly spaced time clock so that I can do realized
| > variance/covariance calculations. For example, I have two xts objects
| > msftTrades and geTrades created by the RTAQ package (the time index variable
| > is a timeDate object) :
| 
| I suspect that xts has some high-level tools that could be leveraged for 
| this. 

Yup, I reckon that   help(to.period)   would be what Eric is looking for.

Thread (5 messages)

Eric Zivot aligning xts object to regularly spaced time clock Jun 21 Achim Zeileis aligning xts object to regularly spaced time clock Jun 21 Dirk Eddelbuettel aligning xts object to regularly spaced time clock Jun 21 Jeff Ryan aligning xts object to regularly spaced time clock Jun 21 Gabor Grothendieck aligning xts object to regularly spaced time clock Jun 21