quarticity_rq: Realized Quarticity
In PortfolioEffectEstim: High Frequency Price Estimators by PortfolioEffect

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

Realized Quarticity (RQ) is an asymptotically unbiased estimator of integrated quarticity in the absence of microstructure noise.

1	quarticity_rq(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: no

- Accounts for finite price jumps: no

- 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>

Barndorff-Nielsen, O. E. and N. Shephard (2002). Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society: Series B 64 (2), 253-280.

quarticity_mrq quarticity_rqq quarticity_rtq quarticity_mtq

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

## End(Not run)