rZero: Calculates the percentage of co-zero returns at a specified...

In highfrequency: Tools for Highfrequency Data Analysis

Description

Calculates the percentage of co-zero returns at a specified sampling period.

Usage

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

Arguments

rdata	an xts object containing the tick data or a list. In case of list: each list-item i contains an xts object with the intraday data of stock i for day t.
period	Sampling period
align.by	Align the tick data to seconds|minutes|hours
align.period	Align the returns to this period first
cts	Create calendar time sampling if a non realizedObject is passed
makeReturns	Prices are passed make them into log returns
...	...

Value

Percentage of co-zero returns.

Author(s)

Scott Payseur <[e-mail]>

References

S. W. Payseur. A One Day Comparison of Realized Variance and Covariance Estimators. Working Paper: University of Washington, 2007

Examples

data(sbux.xts)
data(lltc.xts)
rZero( rdata = list(sbux.xts, lltc.xts) , period = 60, align.by ="seconds", align.period=1)

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