Description Usage Arguments Details
Functions for calculating realized weighted univariate jump skew divergences around divergence with power pow
, and the variance of the estimates.
1 |
rdata |
an |
pow |
|
makeReturns |
boolean, should be |
align.by |
|
align.period |
|
... |
Arguments passed on to |
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.
rJSkew
calculates the realized skew jump divergence.
rJSkewInference
calls rJSkew
and calculates the asymptotic variance of the estimates with the use of the feasible estimator.
rJSkewTrueInference
calculates the realized measure and true asymptotic variance from simulated data, including jump data.
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