rv.zero: Calculates the percentage of zero returns at a specified...

In realized: Realized

Description

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

Usage

rv.zero(x, period, align.by="seconds", align.period = 1, 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 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 zero returns.

Author(s)

Scott Payseur <[e-mail]>

References

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

See Also

rSignature, rc.zero

Examples

data(sbux.xts)
rv.zero(x = sbux.xts, period = 60, align.by ="seconds", align.period=1)

realized documentation built on May 2, 2019, 6:47 p.m.