- rData
an xts
or data.table
object containing returns or prices, possibly for multiple assets over multiple days.
- cor
boolean, in case it is TRUE
, and the input data is multivariate, the correlation is returned instead of the covariance matrix. FALSE
by default.
- period
Sampling period
- alignBy
character, indicating the time scale in which alignPeriod
is expressed.
Possible values are: "ticks"
, "secs"
, "seconds"
, "mins"
, "minutes"
, "hours"
- alignPeriod
positive numeric, indicating the number of periods to aggregate over. For example, to aggregate
based on a 5-minute frequency, set alignPeriod = 5
and alignBy = "minutes"
.
- makeReturns
boolean, should be TRUE
when rData
contains prices instead of returns. FALSE
by default.
- makePsd
boolean, in case it is TRUE
, the positive definite version of rHYCov is returned. FALSE
by default.
- ...
used internally. Do not set.