Description Usage Arguments Details Value Author(s) References See Also Examples
Creates realized variance, covariance, and correlation plots for one or multiple days for each type of estimator.
1 |
range |
x axis of signature plot (inputs for realized estimator) |
x |
Tick data in xts object. |
y |
Tick data in xts object. |
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 |
type |
Type of realized estimator to use, a rv. or rc. is appended to this value and that function is called |
cor |
T for correlation |
rvargs |
List of extra parameters to pass into rv.* or rc.* |
xscale |
value to multiply range by for x axis (see below) |
iteration.funct |
Deprecated |
iterations |
Deprecated |
lags |
Deprecated |
plotit |
T for plot |
Creates a list that contains an x and y value that is used for plotting a signature plot.
List containing:
x |
x axis of signature plot (range * xscale) |
y |
Realized variance or covariance |
type |
type of estimator used for calculation |
cor |
is this a correlation signture |
cov |
it this realized covariance |
Scott Payseur <spayseur@u.washington.edu>
T.G. Andersen, T. Bollerslev, F.X. Diebold, and P. Labys. Great realizations. Risk, 13:105 108, 2000.
Y. Fang. Volatility modeling and estimation of high-frequency data with gaussian noise. unpublished doctoral thesis, MIT, Sloan School of Management, 1996.
J. E. Griffen and R. C. A. Oomen. Covariance measurement in the presence of non-synchronous trading and market microstructure noise. Working Paper, June 27th, 2006.
S. W. Payseur. A One Day Comparison of Realized Variance and Covariance Estimators. Working Paper: University of Washington, 2007
1 2 3 4 5 6 7 8 9 10 11 | data(sbux.xts)
data(lltc.xts)
test.cov <- rSignature((0:119)*10+1,x=sbux.xts, y=lltc.xts, xscale=1/60)
test.rect <- rSignature((1:60)*10+1,x=sbux.xts, y=lltc.xts,type="kernel",rvargs=list(kernel.type="rectangular"), xscale=1/30)
test.mth <- rSignature((1:60)*10+1,x=sbux.xts, y=lltc.xts,type="kernel",rvargs=list(kernel.type="mth"), xscale=1/30)
plot(test.cov, ylab="Realized Covariance", xlab="Minutes", main="SBUX | LLTC")
lines(test.rect, col=3, lwd=1)
lines(test.mth, col=4, lwd=2)
axis(3, c(0,(1:5)*4), c("Lags:",as.character((1:5)*120)))
legend("bottomright",c("Rectangular", "Mod TH"), lwd=c(1,2), col=c(3,4))
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