Realized Covariance: Two Timescales

Share:

Description

Realized Covariance using a generalization of the popular two timescale variance method.

Usage

1
rc.timescale(x, y, period, align.by="seconds", align.period = 1, adj.type = "classic", 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

adj.type

"classic", "adj" or "aa"

...

...

Details

Realized Covariance using two timescale method.

Value

Realized covariance using two timescale method

Author(s)

Scott Payseur <spayseur@u.washington.edu>

References

L. Zhang, P.A Mykland, and Y. Ait-Sahalia. A tale of two time scales: Determining integrated volatility with noisy high-frequency data. Journal of the American Statistical Association, 2005.

Michiel de Pooter, Martin Martens, and Dick van Dijk. Predicting the daily covariance matrix for sp100 stocks using intraday data - but which frequency to use? Working Paper, October 2005.

See Also

rv.timescale, rRealizedVariance

Examples

1
2
3
4
data(sbux.xts)
data(lltc.xts)

rc.timescale(x = sbux.xts, y=lltc.xts, period = 60,align.by ="seconds", align.period=1, adj.type="aa")