rv.zero {realized}R Documentation

Calculates the percentage of zero returns at a specified sampling period

Description

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

Usage

rv.zero(x, period, align.period = 1, cts = TRUE, makeReturns = FALSE, ...)

Arguments

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
... ...

Value

Percentage of zero 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

See Also

rSignature, rc.zero

Examples


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")


[Package realized version 0.81 Index]