This documentation page functions as a point of reference to quickly look up the estimators of the integrated covariance provided in the highfrequency package.
The implemented estimators are:
Realized covariance rCov
Realized bipower covariance rBPCov
Hayashi-Yoshida realized covariance rHYCov
Realized kernel covariance rKernelCov
Realized outlyingness-weighted covariance rOWCov
Realized threshold covariance rThresholdCov
Realized two-scale covariance rTSCov
Robust realized two-scale covariance rRTSCov
Subsampled realized covariance rAVGCov
Realized semi-covariance rSemiCov
Modulated Realized covariance rMRCov
Realized Cholesky covariance rCholCov
Beta-adjusted realized covariance rBACov
IVar for a list of implemented estimators of the integrated variance.