rc.avg {realized}R Documentation

Realized Covariance: Average Subsample

Description

Realized Covariance using average subsample.

Usage

rc.avg(x, y, period, 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
... ...

Value

Realized covariance using average subsample.

Author(s)

Scott Payseur <spayseur@u.washington.edu>

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.

Michiel de Pooter, Martin Martens, and Dick van Dijk. Predicting the daily covariance matrix for sp100 stocks using intraday data - but which frequency to use? Working Paper, October 2005.

See Also

rv.avg, rRealizedVariance

Examples

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

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

#
# Average subsampled realized covariance for CTS aligned at one minute returns at 
# 5 subgrids (5 minutes).
#
rc.avg(x = msft.real.cts[[1]], y = ge.real.cts[[1]], period = 5, align.period=60)



[Package realized version 0.81 Index]