highfrequency (version 0.5.3)

rHYCov: Hayashi-Yoshida Covariance

Description

Hayashi-Yoshida Covariance

Usage

rHYCov(rdata, cor = FALSE, period = 1, align.by = "seconds", 
       align.period = 1, cts = TRUE, makeReturns = FALSE, makePsd = TRUE, ...)

Arguments

rdata

a list. Each list-item i contains an xts object with the intraday data of stock i for day t.

cor

boolean, in case it is TRUE, the correlation is returned. FALSE by default.

period

Sampling period

align.by

Align the tick data to seconds|minutes|hours

align.period

Align the tick data to this many [seconds|minutes|hours]

cts

Create calendar time sampling if a non realizedObject is passed

makeReturns

Prices are passed make them into log returns

makePsd

boolean, in case it is TRUE, the positive definite version of rTSCov is returned. FALSE by default.

...

...

References

T. Hayashi and N. Yoshida. On covariance estimation of non-synchronously observed diffusion processes. Bernoulli, 11:359-379, 2005.

Examples

# NOT RUN {
 # Average Realized Kernel Variance/Covariance for CTS aligned at one minute returns at 
 # 5 subgrids (5 minutes).
 data(lltc.xts); 
 data(sbux.xts); 
  # Multivariate:
 rHYCov = rHYCov( rdata = list(lltc.xts,sbux.xts), period = 5, align.by ="minutes", 
                   align.period=5, makeReturns=FALSE); 
 rHYCov 
 #Note: for the diagonal elements the rCov is used.
# }