rc.avg: Realized Covariance: Average Subsample

In realized: Realized

Description

Realized Covariance using average subsample.

Usage

rc.avg(x, y, period, align.by="seconds",align.period = 1, cts = TRUE, makeReturns = FALSE, ...)

Arguments

x	Tick data in xts object.
y	Tick data in xts object.
period	Sampling period
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
...	...

Value

Realized covariance using average subsample.

Author(s)

Scott Payseur <[e-mail]>

References

L. Zhang, P.A Mykland, and Y. Ait-Sahalia. A tale of two time scales: Determining integrated volatility with noisy high-frequency data. Journal of the American Statistical Association, 2005.

Michiel de Pooter, Martin Martens, and Dick van Dijk. Predicting the daily covariance matrix for sp100 stocks using intraday data - but which frequency to use? Working Paper, October 2005.

See Also

rv.avg, rRealizedVariance

Examples

data(sbux.xts)
data(lltc.xts)


#
# Average subsampled realized variance for CTS aligned at one second returns at 
# 600 subgrids (10 minutes).
#
rc.avg(x = sbux.xts, y=lltc.xts, period = 600, align.by ="seconds", align.period=1)

#
# Average subsampled realized variance for CTS aligned at one minute returns at 
# 5 subgrids (5 minutes).
#
rc.avg(x = sbux.xts,y=lltc.xts, period = 5, align.by ="minutes", align.period=5)

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