MinRV: MinRV

In R-Finance/RTAQ: RTAQ: Tools for the analysis of trades and quotes in R

Description

Function returns the MinRV, defined in Andersen et al. (2009).

Let r_{t,i} be a return (with i=1,…,M) in period t.

Then, the MinRV is given by

\mbox{MinRV}_{t}=\frac{π}{π - 2}≤ft(\frac{M}{M-1}\right) ∑_{i=1}^{M-1} \mbox{min}(|r_{t,i}| ,|r_{t,i+1}|)^2

Usage

MinRV(rdata,...)

Arguments

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

Value

numeric

Author(s)

Jonathan Cornelissen and Kris Boudt

References

Andersen, T. G., D. Dobrev, and E. Schaumburg (2009). Jump-robust volatility estimation using nearest neighbor truncation. NBER Working Paper No. 15533.

R-Finance/RTAQ documentation built on May 8, 2019, 4:48 a.m.