rv.timescale: Realized Variance: Two Timescales

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/realized.R

Description

Realized variance using the two timescale variance method.

Usage

1
rv.timescale(x, period, align.by="seconds", align.period = 1, adj.type = "classic", cts = TRUE, makeReturns = FALSE, ...)

Arguments

x

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 variance using two timescale method.

Value

Realized variance using two timescale method

Author(s)

Scott Payseur <[email protected]>

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.

See Also

rc.timescale, rRealizedVariance

Examples

1
2
data(sbux.xts)
rv.timescale(x = sbux.xts, period = 60,align.by ="seconds", align.period=1, adj.type="aa")

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