Description Usage Arguments Value Author(s) References Examples

Function returns Realized skewness, defined in Amaya et al. (2011).

Assume there is *N* equispaced returns in period *t*. Let *r_{t,i}* be a return (with *i=1, …,N*) in period *t*.

Then, the rSkew is given by

*
\mbox{rSkew}_{t}= \frac{√{N} ∑_{i=1}^{N}(r_{t,i})^3}{RV_{t}^{3/2}}
*

in which
*RV_{t}:* realized variance

1 |

`rdata` |
a zoo/xts object containing all returns in period t for one asset. |

`align.by` |
a string, align the tick data to "seconds"|"minutes"|"hours" |

`align.period` |
an integer, align the tick data to this many [seconds|minutes|hours]. |

`makeReturns` |
boolean, should be TRUE when rdata contains prices instead of returns. FALSE by default. |

`...` |
additional arguments. |

numeric

Giang Nguyen, Jonathan Cornelissen and Kris Boudt

Amaya, D., Christoffersen, P., Jacobs, K. and Vasquez, A. (2011). Do realized skewness and kurtosis predict the cross-section of equity returns?. CREATES research paper. p. 3-7.

1 2 | ```
data(sample_tdata)
rSkew(sample_tdata$PRICE,align.by ="minutes", align.period =5, makeReturns = TRUE)
``` |

```
Loading required package: xts
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
[1] -1.197639
```

highfrequency documentation built on March 18, 2018, 2:13 p.m.

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.