rc.naive: Realized Covariance

In realized: Realized

Description

Traditional realized covariance estimator.

Usage

rc.naive(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	Calendar Time Sampling is used
makeReturns	Convert to Returns
...	...

Value

Sum of cross products of high frequency returns.

Author(s)

Scott Payseur <[e-mail]>

References

T.G. Andersen, T. Bollerslev, F.X. Diebold, and P. Labys. The distribution of exchange rate volatility. Journal of the American Statistical Association, 96:42-55, 2001.

See Also

rv.naive, rSignature, rRealizedVariance

Examples

data(sbux.xts)
data(lltc.xts)

# Traditional RC aligned to 60 seconds
#
rc.naive(x = sbux.xts, y=lltc.xts, period = 60, align.by ="seconds", align.period=1)

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