rSkew: Realized skewness of highfrequency return series.
Description
Function returns Realized skewness, defined in Amaya et al. (2011).
Assume there is $N$ equispaced returns in period $t$. Let $r_{t,i}$ be a return (with $i=1, \ldots,N$) in period $t$.
Then, the rSkew is given by
$$\mbox{rSkew}_{t}= \frac{\sqrt{N} \sum_{i=1}^{N}(r_{t,i})^3}{RV_{t}^{3/2}}$$
in which
$RV_{t}:$ realized variance
a zoo/xts object containing all returns in period t for one asset.
align.by
a string, align the tick data to "seconds"|"minutes"|"hours"
align.period
an integer, align the tick data to this many [seconds|minutes|hours].
makeReturns
boolean, should be TRUE when rdata contains prices instead of returns. FALSE by default.
...
additional arguments.
Value
numeric
References
Amaya, D., Christoffersen, P., Jacobs, K. and Vasquez, A. (2011). Do realized skewness and kurtosis predict the cross-section of equity returns?. CREATES research paper. p. 3-7.