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 <[email protected]>

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 *unpublished doctoral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))
``` |

realized documentation built on May 31, 2017, 4:57 a.m.

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