Description Usage Arguments Details Value Author(s) References See Also Examples
Realized Covariance using a generalization of the popular two timescale variance method.
1 | rc.timescale(x, y, period, align.by="seconds", align.period = 1, adj.type = "classic", cts = TRUE, makeReturns = FALSE, ...)
|
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" |
... |
... |
Realized Covariance using two timescale method.
Realized covariance using two timescale method
Scott Payseur <spayseur@u.washington.edu>
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.
rv.timescale
, rRealizedVariance
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