PortfolioEffectEstim (version 1.4)

quarticity_rqq: Realized Quadpower Quarticity

Description

Realized Quadpower Quarticity (RQQ) is an asymptotically unbiased estimator of integrated quarticity in the absence of microstructure noise.

Usage

quarticity_rqq(estimator)

Arguments

estimator

Vector of (time, price) observations for market asset when external market data is used.

Details

- Convergence speed: $m^{1/4}$ (m - number of observation)

- Accounts for additive noise: no

- Accounts for finite price jumps: yes

- Accounts for time dependence in noise: no

- Accounts for endogenous effects in noise: no

References

O. E. Barndorff-Nielsen and N. Shephard. Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics, Vol.2(No.1):1-37,2004

See Also

quarticity_rq quarticity_mrq quarticity_rtq quarticity_mtq

Examples

## Not run: 
# data(spy.data) 
# estimator=estimator_create(priceData=spy.data)
# estimator_settings(estimator,
# 				   inputSamplingInterval = '10s',
# 				   resultsSamplingInterval = '10s')
# util_plot2d(quarticity_rqq(estimator),title="RQQ")
# ## End(Not run)