multipowerVariation: Multipower variation

In piotrek-orlowski/diveRgence: High frequency econometrics -- divergence esitmation

Description

Calculate multipower variation, an estimator of integrated volatiltiy. See summary in Veraart (2010) and Jacod (2006).

Usage

rMPV(rdata, r.tot, num.int, makeReturns, year.days, align.by, align.period, ...)

Arguments

rdata	an xts object containing 1 return series.
r.tot	which power-variation to estimate.
num.int	how many neighbouring intervals are taken into consideration.
makeReturns	boolean, should be TRUE when price data is supplied. Defaults to FALSE.
align.by
align.period
...	Arguments passed on to aggregatePrice

Details

The most important arguments to pass go aggregatePrice are marketopen and marketclose, see documentation therein. The default values are different from our test data set.

Choose r.tot and num.int such that r.tot/num.int < 2.

piotrek-orlowski/diveRgence documentation built on May 25, 2019, 7:14 a.m.