ksm (version 1.0)

realvar: Realized variance of Amazon and SPY

Description

Intraday realized covariances of the returns between the Amazon stock (rvarAMZN) and the SPDR S&P 500 ETF (rvarSPY) using five minutes data, for the period of September 13th, 2023 to September 12, 2024.

Usage

realvar

Format

A 2 by 2 by 250 array

Examples

data(realvar, package = "ksm")
bopt <- bandwidth_optim(
 x = realvar,
 criterion = "lscv",
 kernel = "Wishart",
 h = 4L
 )