RBPCov: Realized BiPower Covariance

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

Description

Function returns the Realized BiPower Covariance (RBPCov), defined in Barndorff-Nielsen and Shephard (2004).

Let r_{t,i} be an intraday N x 1 return vector and i=1,...,M the number of intraday returns.

The RBPCov is defined as the process whose value at time t is the N-dimensional square matrix with k,q-th element equal to

\mbox{RBPCov}[k,q]_t = \frac{π}{8} \bigg( ∑_{i=2}^{M} ≤ft| r_{(k)t,i} + r_{(q)t,i} \right| \ ≤ft| r_{(k)t,i-1} + r_{(q)t,i-1} \right| \\ - ≤ft| r_{(k)t,i} - r_{(q)t,i} \right| \ ≤ft| r_{(k)t,i-1} - r_{(q)t,i-1} \right| \bigg),

where r_{(k)t,i} is the k-th component of the return vector r_{i,t}.

Usage

RBPCov(rdata,cor=FALSE,makeReturns=FALSE,makePsd=FALSE,...)

Arguments

rdata	a (M x N) matrix/zoo/xts object containing the N return series over period t, with M observations during t.
cor	boolean, in case it is TRUE, the correlation is returned. FALSE by default.
makeReturns	boolean, should be TRUE when rdata contains prices instead of returns. FALSE by default.
makePsd	boolean, in case it is TRUE, the positive definite version of RBPCov is returned. FALSE by default.
...	additional arguments.

Value

an N x N matrix

Author(s)

Jonathan Cornelissen and Kris Boudt

References

Barndorff-Nielsen, O. and N. Shephard (2004). Measuring the impact of jumps in multivariate price processes using bipower covariation. Discussion paper, Nuffield College, Oxford University.

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