hfDummy {NTS}

Create Dummy Variables for High-Frequency Intraday Seasonality

Description

Create dummy variables for high-frequency intraday seasonality.

Usage

hfDummy(int = 1, Fopen = 10, Tend = 10, days = 1, pooled = 1, skipmin = 0)

Arguments

int

length of time interval in minutes.

Fopen

number of dummies/intervals from the market open.

Tend

number of dummies/intervals to the market close.

days

number of trading days in the data.

pooled

a logical value indicating whether the data are pooled.

skipmin

the number of minites omitted from the opening.

Examples

x=hfDummy(5,Fopen=4,Tend=4,days=2,skipmin=15)