rc.avg: Realized Covariance: Average Subsample

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

View source: R/realized.R

Description

Realized Covariance using average subsample.

Usage

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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 <[email protected]>

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

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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 31, 2017, 4:57 a.m.