highfrequency (version 0.5.3)

rZero: Calculates the percentage of co-zero returns at a specified sampling period

Description

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

Usage

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

Arguments

rdata

an xts object containing the tick data or a list. In case of list: each list-item i contains an xts object with the intraday data of stock i for day t.

period

Sampling period

align.by

Align the tick data to seconds|minutes|hours

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 co-zero returns.

References

S. W. Payseur. A One Day Comparison of Realized Variance and Covariance Estimators. Working Paper: University of Washington, 2007

Examples

# NOT RUN {
data(sbux.xts)
data(lltc.xts)
rZero( rdata = list(sbux.xts, lltc.xts) , period = 60, align.by ="seconds", align.period=1)
# }