Description Usage Arguments Value Author(s) References See Also Examples

Traditional realized 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` |
Calendar Time Sampling is used |

`makeReturns` |
Convert to Returns |

`...` |
... |

Sum of cross products of high frequency returns.

Scott Payseur <[email protected]>

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.

`rv.naive`

, `rSignature`

, `rRealizedVariance`

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realized documentation built on May 31, 2017, 4:57 a.m.

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