rc.hy {realized} | R Documentation |
Hayashi-Yoshida covariance estimator
rc.hy(x, y, period = 1, 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 |
... |
... |
Scott Payseur
T. Hayashi and N. Yoshida. On covariance estimation of non-synchronously observed diffusion processes. Bernoulli, 11:359-379, 2005.
rRealizedVariance
data(msft.real.cts) data(ge.real.cts) # Hayashi-Yoshida realized covariance for CTS aligned at one second returns at # 600 subgrids (10 minutes). # rc.hy(x = msft.real.cts[[1]], y = ge.real.cts[[1]], period = 600)