rc.hy: Hayashi-Yoshida

In realized: Realized

Description

Hayashi-Yoshida covariance estimator

Usage

rc.hy(x, y, period = 1,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
...	...

Author(s)

Scott Payseur

References

T. Hayashi and N. Yoshida. On covariance estimation of non-synchronously observed diffusion processes. Bernoulli, 11:359-379, 2005.

See Also

rRealizedVariance

Examples

#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()

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