quarticity_rqq: Realized Quadpower Quarticity
In PortfolioEffectEstim: High Frequency Price Estimators by PortfolioEffect

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

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

1	quarticity_rqq(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: yes

- Accounts for time dependence in noise: no

- Accounts for endogenous effects in noise: no

Kostin Andrey <andrei.kostin@snowfallsystems.com>

O. E. Barndorff-Nielsen and N. Shephard. Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics, Vol.2(No.1):1-37,2004

quarticity_rq quarticity_mrq 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_rqq(estimator),title="RQQ")

## End(Not run)