Hello,
I have a data frame which contains 250 closing prices for numerous financial
futures (Indices, currencies, bonds, commodities).
When Exchange is closed, I have a NA.
What are the methods to calculate the log returns of my assets with these
closing days? Should I dismiss them, and if so, how to do this (I guess I
don't want only to remove them, otherwise the next day's return will be
wrong)? Or should I impute some variable, like a 5 days mean for example?
TY 4 any help,
arno