PortfolioEffectEstim (version 1.4)

noise_uznv: Uncertainty Zones Noise Variance

Description

Uncertainty Zones Noise Variance (UZNV) based on the concept of uncertainty zones.

Usage

noise_uznv(estimator)

Arguments

estimator

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

Value

Details

- Convergence speed: $m^{1/2}$ (m - number of observation)

- Accounts for additive noise: yes

- Accounts for finite price jumps: no

- Accounts for time dependence in noise: no

- Accounts for endogenous effects in noise: yes

References

Robert, C. Y. and Rosenbaum, M. (2012), Volatility and covariation estimation when microstructure noise and trading times are endogenous. Mathematical Finance, 22

See Also

noise_rnv noise_urnv noise_acnv

Examples

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