highfrequency (version 0.6.5)

rHYCov: Hayashi-Yoshida Covariance

Description

Calculates the Hayashi-Yoshida Covariance estimator

Usage

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

Arguments

rdata

a possibly multivariate xts object.

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]

makeReturns

Prices are passed make them into log returns

makePsd

boolean, in case it is TRUE, the positive definite version of rHYCov 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.