quarticity_mtq: Modulated Tripower Quarticity
In PortfolioEffectEstim: High Frequency Price Estimators by PortfolioEffect

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

Modulated Tri-power Quarticity (MTQ) is an asymptotically unbiased estimator of integrated quarticity in the presence of microstructure noise. This estimator is also robust to finite activity jumps in price_

1	quarticity_mtq(estimator)

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_mrq

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

## End(Not run)