# Realized threshold Variance/Covariance:
# Multivariate:
if (FALSE) {
library("xts")
set.seed(123)
start <- strptime("1970-01-01", format = "%Y-%m-%d", tz = "UTC")
timestamps <- start + seq(34200, 57600, length.out = 23401)
dat <- cbind(rnorm(23401) * sqrt(1/23401), rnorm(23401) * sqrt(1/23401))
dat <- exp(cumsum(xts(dat, timestamps)))
rcThreshold <- rThresholdCov(dat, alignBy = "minutes", alignPeriod = 1, makeReturns = TRUE)
rcThreshold
}
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