Description Usage Arguments Value Author(s)
Function returns the Realized Covariation (RCov).
Let r_{t,i} be an intraday N x 1 return vector and i=1,...,M the number of intraday returns.
Then, the RCov is given by
\mbox{RCov}_{t}=ā_{i=1}^{M}r_{t,i}r'_{t,i}.
1 |
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. |
... |
additional arguments. |
an N x N matrix
Jonathan Cornelissen and Kris Boudt
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