[R-SIG-Finance] Correlation between two asynchronous time series?

[Arno gaboury]

Hello,

I have been working on this problem, as I need to compute every day a
correlation Matrix between 40 future markets (European & US exchanges).
I really think the best way is to get synchronized data, i.e. with a closing
time @ the same time snapshot. For European-US products, this could be @
4:00 PM GMT.
I have absolutely no idea how to create a customized session from 4:00 to
4:00 when downloading data with the get.hist.quote function. If someone has
some ideas or code about it, it would be welcomed.
Arno





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