realizedJumpKurt: Realized jump kurtosis divergence

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

Description

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

Usage

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

Arguments

rdata	an xts object containing 1 return series.
pow	numeric vector of length P: jump skew divergences will be calculated around 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.

rJKurt calculates the realized kurtosis jump divergence.

rJKurtInference calls rJKurt and calculates the asymptotic variance of the estimates with the use of the feasible estimator.

rJKurtTrueInference calculates the realized measure and true asymptotic variance from simulated data, including jump data.

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