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highfrequency (version 0.5)

exchangeHoursOnly:

Description

The function returns data within exchange trading hours "daybegin" and "dayend". By default, daybegin and dayend are set to "09:30:00" and "16:00:00" respectively (see Brownlees and Gallo (2006) for more information on good choices for these arguments).

Usage

exchangeHoursOnly(data, daybegin = "09:30:00", dayend = "16:00:00")

Arguments

data
an xts object containing the time series data.
daybegin
character in the format of "HH:MM:SS", specifying the starting hour, minute and second of an exhange trading day.
dayend
character in the format of "HH:MM:SS", specifying the closing hour, minute and second of an exhange trading day.

Value

xts object

References

Brownlees, C.T. and Gallo, G.M. (2006). Financial econometric analysis at ultra-high frequency: Data handling concerns. Computational Statistics & Data Analysis, 51, pages 2232-2245.