ICov: Estimators of the integrated covariance

In highfrequency: Tools for Highfrequency Data Analysis

Estimators of the integrated covariance

Description

This documentation page functions as a point of reference to quickly look up the estimators of the integrated covariance provided in the highfrequency package.

The implemented estimators are:

Realized covariance rCov

Realized bipower covariance rBPCov

Hayashi-Yoshida realized covariance rHYCov

Realized kernel covariance rKernelCov

Realized outlyingness-weighted covariance rOWCov

Realized threshold covariance rThresholdCov

Realized two-scale covariance rTSCov

Robust realized two-scale covariance rRTSCov

Subsampled realized covariance rAVGCov

Realized semi-covariance rSemiCov

Modulated Realized covariance rMRCov

Realized Cholesky covariance rCholCov

Beta-adjusted realized covariance rBACov

See Also

IVar for a list of implemented estimators of the integrated variance.

highfrequency documentation built on Oct. 4, 2023, 5:08 p.m.