rv.timescale {realized}R Documentation

Realized Variance: Two Timescales

Description

Realized variance using the two timescale variance method.

Usage

rv.timescale(x, period, align.period = 1, adj.type = "classic", 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
adj.type "classic", "adj" or "aa"
... ...

Details

Realized variance using two timescale method.

Value

Realized variance using two timescale method

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.

See Also

rc.timescale, rRealizedVariance

Examples


data(msft.real.cts)

rv.timescale(x = msft.real.cts[[1]], period = 60, adj.type="aa")


[Package realized version 0.81 Index]