realized-package: Realized Variance, Covariance and Correlation

Description Details Author(s) References Examples

Description

Package contains various estimators and tools to research realized estimates of second moments.

Details

Package: realized
Type: Package
Version: 0.7
Date: 2007-08-05
License:

Author(s)

Scott Payseur <[email protected]>

References

T.G. Andersen, T. Bollerslev, F.X. Diebold, and P. Labys. Great realizations. Risk, 13:105 108, 2000.

Y. Fang. Volatility modeling and estimation of high-frequency data with gaussian noise. unpublished doctoral thesis, MIT, Sloan School of Management, 1996.

O. E. Barndorff-Nielson and N. Sheppard. Econometric analysis of realised volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society, Series B 64:253-280, 2002

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.

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

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.

Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, and Neil Shephard. Regular and modified kernel-based estimators of integrated variance: The case with independent noise. Working Paper, 2004.

J. E. Griffen and R. C. A. Oomen. Covariance measurement in the presence of non-synchronous trading and market microstructure noise. Working Paper, June 27th, 2006.

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.

Examples

1
# see users manual

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