rv.zero {realized} | R Documentation |
Calculates the percentage of zero returns at a specified sampling period.
rv.zero(x, period, align.period = 1, cts = TRUE, makeReturns = FALSE, ...)
x |
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 |
... |
... |
Percentage of zero returns.
Scott Payseur <spayseur@u.washington.edu>
S. W. Payseur. A One Day Comparison of Realized Variance and Covariance Estimators. Working Paper: University of Washington, 2007
data(msft.real.cts) # # Plot the percentage of zero returns for sampling periods of 1 second # to 600 seconds. # plot(rSignature(1:600, x=msft.real.cts[[1]], type="zero", xscale=1/60), main="Percentage of co-zeros", ylab="Percent Zero", xlab= "minutes")