rHYCov: Hayashi-Yoshida Covariance

In highfrequency: Tools for Highfrequency Data Analysis

Description

Hayashi-Yoshida Covariance

Usage

 
rHYCov(rdata, cor = FALSE, period = 1, align.by = "seconds", 
       align.period = 1, cts = TRUE, makeReturns = FALSE, makePsd = TRUE, ...)

Arguments

rdata	a list. Each list-item i contains an xts object with the intraday data of stock i for day t.
cor	boolean, in case it is TRUE, the correlation is returned. FALSE by default.
period	Sampling period
align.by	Align the tick data to seconds|minutes|hours
align.period	Align the tick data to this many [seconds|minutes|hours]
cts	Create calendar time sampling if a non realizedObject is passed
makeReturns	Prices are passed make them into log returns
makePsd	boolean, in case it is TRUE, the positive definite version of rTSCov is returned. FALSE by default.
...	...

Author(s)

Scott Payseur

References

T. Hayashi and N. Yoshida. On covariance estimation of non-synchronously observed diffusion processes. Bernoulli, 11:359-379, 2005.

Examples

 # Average Realized Kernel Variance/Covariance for CTS aligned at one minute returns at 
 # 5 subgrids (5 minutes).
 data(lltc.xts); 
 data(sbux.xts); 
  # Multivariate:
 rHYCov = rHYCov( rdata = list(lltc.xts,sbux.xts), period = 5, align.by ="minutes", 
                   align.period=5, makeReturns=FALSE); 
 rHYCov 
 #Note: for the diagonal elements the rCov is used.

Example output

Loading required package: xts
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

xts -> realizedObject [2010-07-01 13:30:00 :: 2010-07-01 20:00:00] 
xts -> realizedObject [2010-07-01 13:30:00 :: 2010-07-01 20:00:00] 
            [,1]         [,2]
[1,] 0.000368847 0.0003723690
[2,] 0.000372369 0.0003759247

highfrequency documentation built on May 2, 2019, 6:09 p.m.