Dear All,
I am tying to calculate the return( the absolute difference between
two log prices) for my series of data.
I need to calculate it for each day and each time intervals, so this
means that I don't want the difference between the last price of one
day and the first price of the next day. My time goes from 8:30 to
17:30.
I construct the variable datetime that combines the date and the time.
I used it as tsset but it doesn't work.
Do you have any suggestion?
Thanks a lot
Katia
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