Description Usage Arguments Value Author(s) References Examples

Function returns Realized kurtosis, defined in Amaya et al. (2011).

Assume there is *N* equispaced returns in period *t*. Let *r_{t,i}* be a return (with *i=1, …,N*) in period *t*.

Then, the rKurt is given by

*
\mbox{rKurt}_{t}= \frac{N ∑_{i=1}^{N}(r_{t,i})^4}{RV_{t}^2}
*

in which
*RV_t:* realized variance

1 |

`rdata` |
a zoo/xts object containing all returns in period t for one asset. |

`align.by` |
a string, align the tick data to "seconds"|"minutes"|"hours" |

`align.period` |
an integer, align the tick data to this many [seconds|minutes|hours]. |

`makeReturns` |
boolean, should be TRUE when rdata contains prices instead of returns. FALSE by default. |

`...` |
additional arguments. |

numeric

Giang Nguyen, Jonathan Cornelissen and Kris Boudt

Amaya, D., Christoffersen, P., Jacobs, K. and Vasquez, A. (2011). Do realized skewness and kurtosis predict the cross-section of equity returns?. CREATES research paper. p. 3-7.

1 2 | ```
data(sample_tdata)
rKurt(sample_tdata$PRICE,align.by ="minutes", align.period =5, makeReturns = TRUE)
``` |

highfrequency documentation built on May 31, 2017, 4:34 a.m.

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