brk_estimate: Compute Blocked-Realized Kernels

In muffin1974/lobster: This package helps to handle, read-in and analyze data from the lobster high-frequency data universe

Usage

brk_estimate(tickerlist, date, nob = 4, folder = Sys.getenv("GLOBAL"),
  output_file = paste0("BRK_", date, "_", nob, ".rds"))

Arguments

tickerlist	Vector of length N with the names of the tickers
date	Date for which the BRK should be computed (String)
nob	Number of Groups
folder	Relative path to the storage of the lobster files (extracted)
output_file	Relative path to store the estimated matrices (naming convention: BRK_date_nob.rds) ticker <- as.character(read.table('AddInformation/assets.csv')$x) sim_days <- as.Date(read.table('AddInformation/trading_days.csv')$x)

muffin1974/lobster documentation built on May 23, 2019, 8:20 a.m.