noise_uznv: Uncertainty Zones Noise Variance
In PortfolioEffectEstim: High Frequency Price Estimators by PortfolioEffect

Description Usage Arguments Details Value Author(s) References See Also Examples

Uncertainty Zones Noise Variance (UZNV) based on the concept of uncertainty zones.

1	noise_uznv(estimator)

estimator

Vector of (time, price) observations for market asset when external market data is used.

- Convergence speed: m^{1/2} (m - number of observation)

- Accounts for additive noise: yes

- Accounts for finite price jumps: no

- Accounts for time dependence in noise: no

- Accounts for endogenous effects in noise: yes

a numeric vector of the same length as input data.

Kostin Andrey <andrey.kostin@portfolioeffect.com>

Robert, C. Y. and Rosenbaum, M. (2012), Volatility and covariation estimation when microstructure noise and trading times are endogenous. Mathematical Finance, 22

noise_rnv noise_urnv noise_acnv

 
## Not run: 
data(spy.data) 
estimator=estimator_create(priceData=spy.data)
estimator_settings(estimator,
				   inputSamplingInterval = '10s',
				   resultsSamplingInterval = '10s')
util_plot2d(noise_uznv(estimator),title="UZNV")

## End(Not run)