Description Usage Arguments Value Author(s) References Examples
Function returns Realized semivariance, defined in Barndorff-Nielsen et al. (2008).
Function returns two outcomes: 1.Downside realized semivariance and 2.Upside realized semivariance.
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 rSV is given by
\mbox{rSVdownside}_{t}= ∑_{i=1}^{N} (r_{t,i})^2 \ \times \ I [ r_{t,i} <0 ]
\mbox{rSVupside}_{t}= ∑_{i=1}^{N} (r_{t,i})^2 \ \times \ I [ r_{t,i} >0 ]
1 |
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. |
list
Giang Nguyen, Jonathan Cornelissen and Kris Boudt
Barndorff- Nielsen, O.E., Kinnebrock, S. and Shephard N. (2008). Measuring downside risk- realized semivariance. CREATES research paper. p. 3-5
1 2 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.