rc.hy {realized}R Documentation

Hayashi-Yoshida

Description

Hayashi-Yoshida covariance estimator

Usage

rc.hy(x, y, period = 1, align.period = 1, cts = TRUE, makeReturns = FALSE, ...)

Arguments

x RealizedObject or TimeSeries for S+
y RealizedObject or TimeSeries for S+
period Sampling period
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
... ...

Author(s)

Scott Payseur

References

T. Hayashi and N. Yoshida. On covariance estimation of non-synchronously observed diffusion processes. Bernoulli, 11:359-379, 2005.

See Also

rRealizedVariance

Examples

data(msft.real.cts)
data(ge.real.cts)

# Hayashi-Yoshida realized covariance for CTS aligned at one second returns at 
# 600 subgrids (10 minutes).
#
rc.hy(x = msft.real.cts[[1]], y = ge.real.cts[[1]], period = 600)


[Package realized version 0.81 Index]