Realized Covariance: Kernel

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Description

Realized covariance calculation using a kernel estimator.

Usage

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rc.kernel(x, y, kernel.type = "rectangular", kernel.param = 1, kernel.dofadj = TRUE, align.by="seconds",align.period = 1, cts = TRUE, makeReturns = FALSE, type = NULL, adj = NULL, q = NULL,...)

Arguments

x

Tick data in xts object.

y

Second asset tick data in xts object.

kernel.type

Kernel name (or number)

kernel.param

Kernel parameter (usually lags)

kernel.dofadj

Kernel Degree of freedom adjustment

align.by

Align the tick data to seconds|minutes|hours

align.period

Align the tick data to this many [seconds|minutes|hours]

cts

Calendar Time Sampling is used

makeReturns

Convert to Returns

type

Deprecated, use kernel.type

adj

Deprecated, use kernel.dofadj

q

Deprecated, use kernel.param

...

...

Details

The different types of kernels can be found using rKernel.available().

Value

Kernel estimate of realized covariance.

Author(s)

Scott Payseur <scott.payseur@gmail.com>

References

Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, and Neil Shephard. Regular and modified kernel-based estimators of integrated variance: The case with independent noise. Working Paper, 2004.

B. Zhou. High-frequency data and volatility in foreign-exchange rates. Journal of Buiness & Economic Statistics, 14:45-52, 1996.

P. Hansen and A. Lunde. Realized variance and market microstructure noise. Journal of Business and Economic Statistics, 24:127-218, 2006.

See Also

rRealizedVariance,rc.kernel, rKernel.available,rKernel

Examples

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#data(msft.real.cts)
#data(ge.real.cts)

# kernel realized variance for CTS aligned at one minute returns
data(sbux.xts)
data(lltc.xts)

# kernel realized variance for CTS aligned at one minute returns
rc.kernel(x = sbux.xts,y = lltc.xts, kernel.param=1, kernel.type="bartlett", align.by ="seconds", align.period=60)