Description Usage Arguments Details Value Author(s) References See Also Examples
Realized variance calculation using a kernel estimator.
1 |
x |
Tick data in xts object. |
kernel.type |
Kernel name (or number) |
kernel.param |
Kernel parameter (usually lags) |
kernel.dofadj |
Kernel Degree of freedom adjustment |
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 |
type |
Deprecated, use kernel.type |
adj |
Deprecated, use kernel.dofadj |
q |
Deprecated, use kernel.param |
... |
... |
The different types of kernels can be found using rKernel.available().
Kernel estimate of realized variance.
Scott Payseur <scott.payseur@gmail.com>
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.
B. Zhou. High-frequency data and volatility in foreign-exchange rates. Journal of Buiness & Economic Statistics, 14:45-52, 1996.
P. Hansen and A. Lunde. Realized variance and market microstructure noise. Journal of Business and Economic Statistics, 24:127-218, 2006.
rRealizedVariance
,rc.kernel
, rKernel.available
,rKernel
1 2 3 |
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