rHYCov: Hayashi-Yoshida covariance

Description

Calculates the Hayashi-Yoshida Covariance estimator

Usage

rHYCov(
  rData,
  cor = FALSE,
  period = 1,
  alignBy = "seconds",
  alignPeriod = 1,
  makeReturns = FALSE,
  makePsd = TRUE,
  ...
)

Arguments

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.

Author

Scott Payseur and Emil Sjoerup.

References

Hayashi, T. and Yoshida, N. (2005). On covariance estimation of non-synchronously observed diffusion processes. Bernoulli, 11, 359-379.

Examples

Run this code

library("xts")
hy <- rHYCov(rData = as.xts(sampleOneMinuteData)["2001-08-05"],
             period = 5, alignBy = "minutes", alignPeriod = 5, makeReturns = TRUE)