Description Usage Arguments Details Value Author(s) References See Also Examples
Modulated Realized Quarticity (MRQ) is an asymptotically unbiased estimator of integrated quarticity in the presence of microstructure noise.
1 | quarticity_mrq(estimator)
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estimator |
Vector of (time, price) observations for market asset when external market data is used. |
- Convergence speed: m^{1/4} (m - number of observation)
- Accounts for additive noise: yes
- Accounts for finite price jumps: yes
- Accounts for time dependence in noise: no
- Accounts for endogenous effects in noise: no
a numeric vector of the same length as input data.
Kostin Andrey <andrei.kostin@snowfallsystems.com>
M. Podolskij and M. Vetter, "Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps," Bernoulli, vol. 15, No. 3, pp. 634-658, 2009
quarticity_rq
quarticity_rqq
quarticity_rtq
quarticity_mtq
1 2 3 4 5 6 7 8 9 10 |
## Not run:
data(spy.data)
estimator=estimator_create(priceData=spy.data)
estimator_settings(estimator,
inputSamplingInterval = '10s',
resultsSamplingInterval = '10s')
util_plot2d(quarticity_mrq(estimator),title="MRQ")
## End(Not run)
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