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re: st: Overlapping-roling five-day returns


From   n j cox <n.j.cox@durham.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   re: st: Overlapping-roling five-day returns
Date   Thu, 30 Mar 2006 14:35:27 +0100

I don't understand the unexplained economic jargon here,
but the following may help:

. help tssmooth
. findit movsumm
. findit egenmore

Nick
n.j.cox@durham.ac.uk

Rodriguez, Dan

I am constructing a simulation of weekly returns from a four year
history of realized returns, which includes 209 individual weeks of
data. Is there a command in Stata that will allow me to quickly
construct overlapping rolling five-day sequential returns from this
data?

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