Description Usage Arguments Author(s) References See Also Examples
Hayashi-Yoshida covariance estimator
1 |
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 |
... |
... |
Scott Payseur
T. Hayashi and N. Yoshida. On covariance estimation of non-synchronously observed diffusion processes. Bernoulli, 11:359-379, 2005.
rRealizedVariance
1 2 3 4 5 6 7 8 | #data(msft.real.cts)
#data(ge.real.cts)
# Hayashi-Yoshida realized covariance for CTS aligned at one second returns at
# 600 subgrids (10 minutes).
#
#rc.hy(x = msft.real.cts[[1]], y = ge.real.cts[[1]], period = 600)
ls()
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