rc.kernel: Realized Covariance: Kernel

In realized: Realized

Description

Realized covariance calculation using a kernel estimator.

Usage

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 <[e-mail]>

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

#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)

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