realizedDivergence: Realized Divergence

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

Description

Functions for calculating realized weighted univariate divergences with power pow, and the variance of the estimates.

Usage

rDiv(rdata, pow, makeReturns, align.by, align.period, intradaySeasonFun, ...)

Arguments

rdata	an xts object containing 1 return series.
pow	numeric vector of length P: divergences will be calculated at all powers.
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.

rDivInference calculates the estimator and asymptotic variance based on the feasible estimator in Khajavi, Or\lowski and Trojani (2015).

rDivTrueInference calculates the estimator and the infeasible asymptotic variance based on jump data from simulation.

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