rMarginal: Maginal Contribution to Realized Estimate

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/realized.R

Description

Plots the marginal contribution to the realized estimate.

Usage

1
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 <[email protected]

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

1
2
3
4
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 31, 2017, 4:57 a.m.