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`

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_mtq(estimator),title="MTQ")
## End(Not run)
``` |

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