Thanks Kit, I'm looking into that, I also came across your article on
"Taking care of business," and I think that your seqdate should take care
of it. I've looked up bcal too, but while your seqdate explanation was
immediately clear I'm less confident about trying out bcal for now.
many thanks for your very quick replies and invaluable suggestions,
--
Patrick Toche.
Reference:
http://www.stata-journal.com/article.html?article=dm0028
rolling sd=r(sd) skewness=r(skewness) kurtosis=r(kurtosis), window (60)
clear: summarize, detail
The problem is that it generates a lot of gaps because of missing data.
Unless there are many days with no trades, you can probably get rid of
the missing data by employing a business-daily
calendar. help bcal to set that up.
Kit
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