hfDummy function

Create Dummy Variables for High-Frequency Intraday Seasonality

Create dummy variables for high-frequency intraday seasonality.

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)