Calculates the percentage of co-zero returns at a specified sampling period

Description

Calculates the percentage of co-zero returns at a specified sampling period.

Usage

1
rc.zero(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 returns to this period first

cts

Create calendar time sampling if a non realizedObject is passed

makeReturns

Prices are passed make them into log returns

...

...

Value

Percentage of co-zero returns.

Author(s)

Scott Payseur <scott.payseur@gmail.com>

References

S. W. Payseur. A One Day Comparison of Realized Variance and Covariance Estimators. Working Paper: University of Washington, 2007

See Also

rSignature, rv.zero

Examples

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

rc.zero(x = sbux.xts, y=lltc.xts, period = 60, align.by ="seconds", align.period=1)