rMarginal: Maginal Contribution to Realized Estimate

In realized: Realized

Description

Plots the marginal contribution to the realized estimate.

Usage

rMarginal(x, y = NULL, period,align.by="seconds", align.period = 1, plotit = FALSE, cts = TRUE,makeReturns = FALSE)

Arguments

x	RealizedObject or TimeSeries for S+
y	RealizedObject or TimeSeries for S+
period	Sampling period
align.by	Align the tick data to seconds|minutes|hours
align.period	Align the returns to this period first
plotit	T for plot
cts	Create calendar time sampling if a non realizedObject is passed
makeReturns	Prices are passed make them into log returns

Details

Plots the marginal contribution to the realized estimate. This is a good tool to determine what obersations are adding (possibly subtracting for covariance) to the estimate. For version 0.7 this is only implemented for the naive estimators, in 1.0 it will be implemented generically.

Value

Marginal contribution vector if plotit = F

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

See Also

rAccumulation, rRealizedVariance

Examples

data(sbux.xts)
par(mfrow=c(2,1))
plot(rCumSum(sbux.xts, period=10, align.by="seconds", align.period=60), xlab="", ylab="Cumulative Ruturns", main="Starbucks (SBUX)", sub='20110701', type="p")
barplot(rMarginal(sbux.xts, period=10, align.by="seconds", align.period=60)$y, main="Marginal Contribution Plot") 

realized documentation built on May 2, 2019, 6:47 p.m.