RCov: Realized Covariance

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

Description

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}=∑_{i=1}^{M}r_{t,i}r'_{t,i}.

Usage

RCov(rdata,cor=FALSE,makeReturns=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.
...	additional arguments.

Value

an N x N matrix

Author(s)

Jonathan Cornelissen and Kris Boudt

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