cholCovrMRCov

<p>#' @keywords internal
zgamma &lt;- function (x, y, gamma_power) 
  if (x^2 &lt; y) 
    out &lt;- abs(x)^gamma_power
   else 
    if (gamma_power == 1) 
      out &lt;- 1.094 * sqrt(y)    if (gamma_power == 2) 
      out &lt;- 1.207 * y    if (gamma_power == 4/3) 
      out &lt;- 1.129 * y^(2/3)  return(out)</p>

internal

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. A detailed vignette can be found in the open-access paper
"Analyzing Intraday Financial Data in R: The highfrequency Package"
by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>).

Kris Boudt

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

Emil Sjoerup

cholCovrMRCov function

#' @keywords internal
zgamma &lt;- function (x, y, gamma_power) 
  if (x^2 &lt; y) 
    out &lt;- abs(x)^gamma_power
   else 
    if (gamma_power == 1) 
      out &lt;- 1.094 * sqrt(y)
    
    if (gamma_power == 2) 
      out &lt;- 1.207 * y
    
    if (gamma_power == 4/3) 
      out &lt;- 1.129 * y^(2/3)
    
  
  
  return(out) — cholCovrMRCov

#' @keywords internal
zgamma &lt;- function (x, y, gamma_power) 
  if (x^2 &lt; y) 
    out &lt;- abs(x)^gamma_power
   else 
    if (gamma_power == 1) 
      out &lt;- 1.094 * sqrt(y)
    
    if (gamma_power == 2) 
      out &lt;- 1.207 * y
    
    if (gamma_power == 4/3) 
      out &lt;- 1.129 * y^(2/3)
    
  
  
  return(out)

cholCovrMRCov: #' @keywords internal zgamma <- function (x, y, gamma_power) if (x^2 < y) out <- abs(x)^gamma_power else if (gamma_power == 1) out <- 1.094 * sqrt(y) if (gamma_power == 2) out <- 1.207 * y if (gamma_power == 4/3) out <- 1.129 * y^(2/3) return(out)

Description

Usage

Arguments