realized_library

<p>A data.frame object containing the daily open-close returns, daily realized variances based on 
five-minute intraday returns and daily realized kernels ranging from 2000-01-03 up to 2019-06-10 for the S&amp;P 500. 
Use <code>colnames(realized_library)</code> to see which realized measures. 
The full library of the Oxford-Man Institute of Quantitative Finance can be found on their website: <a href="http://realized.oxford-man.ox.ac.uk">http://realized.oxford-man.ox.ac.uk</a>.</p>

datasets

Provide functionality to manage, clean and match highfrequency
trades and quotes data, calculate various liquidity measures, estimate and
forecast volatility, detect price jumps and investigate microstructure noise and intraday
periodicity.

Kris Boudt

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

realized_library function

Format

<p>A data.frame object containing the daily open-close returns, daily realized variances based on 
five-minute intraday returns and daily realized kernels ranging from 2000-01-03 up to 2019-06-10 for the S&amp;P 500. 
Use <code>colnames(realized_library)</code> to see which realized measures. 
The full library of the Oxford-Man Institute of Quantitative Finance can be found on their website: <a href='http://realized.oxford-man.ox.ac.uk'>http://realized.oxford-man.ox.ac.uk</a>.</p>

The realized library from the Oxford-Man Institute of Quantitative Finance — realized_library

The realized library from the Oxford-Man Institute of Quantitative Finance

realized_library: The realized library from the Oxford-Man Institute of Quantitative Finance

Description

Usage

Arguments

Format

References