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
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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.
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