rc.naive {realized} | R Documentation |
Traditional realized covariance estimator.
rc.naive(x, y, period, align.period = 1, cts = TRUE, makeReturns = FALSE, ...)
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 |
... |
... |
Sum of cross products of high frequency returns.
Scott Payseur <spayseur@u.washington.edu>
T.G. Andersen, T. Bollerslev, F.X. Diebold, and P. Labys. The distribution of exchange rate volatility. Journal of the American Statistical Association, 96:42-55, 2001.
rv.naive
, rSignature
, rRealizedVariance
data(msft.real.cts) data(ge.real.cts) # Traditional RC aligned to 60 seconds # rc.naive(x = msft.real.cts[[1]], y = ge.real.cts[[1]], period = 60)