FTSgof (version 1.0.0)

OCIDR: 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)

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.

Arguments

f_data

A \(J \times N\) matrix of functional time series data, where \(J\) is the number of discrete points in a grid and \(N\) is the sample size.

Examples

# \donttest{
data(sp500)
OCIDR(sp500)
# }