IVar: Estimators of the integrated variance

In highfrequency: Tools for Highfrequency Data Analysis

Estimators of the integrated variance

Description

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

The implemented estimators are: Realized Variance rRVar

Median realized variance rMedRVar

Minimum realized variance rMinRVar

Realized quadpower variance rQPVar

Realized multipower variance rMPVar

Realized semivariance rSVar

Note that almost all estimators in the list in ICov also work yield estimates of the integrated variance on the diagonals.

See Also

ICov for a list of implemented estimators of the integrated covariance.

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