rScatterReturns {realized}R Documentation

Scatterplot of aligned returns

Description

Creates a scatterplot of cross returns.

Usage

rScatterReturns(x, y, period, align.period = 1, numbers = FALSE, xlim = NULL, ylim = NULL, plotit = TRUE, pch = NULL, 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
plotit T for plot
numbers T for count
pch type of point
ylim ylimit
xlim xlimit
... ...

Details

Scatterplot of returns.

Author(s)

Scott Payseur <spayseur@u.washington.edu>

References

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

Examples


data(msft.real.cts)
data(ge.real.cts)
par(mfrow=c(2,1))
rScatterReturns(msft.real.cts[[1]],y=ge.real.cts[[1]], period=1, align.period=20,ylab="GE",xlab="MSFT",numbers=FALSE) 
rScatterReturns(msft.real.cts[[1]],y=ge.real.cts[[1]], period=1, align.period=20,ylab="GE",xlab="MSFT",numbers=TRUE) 


[Package realized version 0.81 Index]