[Blotter-commits] r1024 - in pkg/RTAQ: data man

[noreply at r-forge.r-project.org]

Author: jonathan
Date: 2012-05-16 21:00:49 +0200 (Wed, 16 May 2012)
New Revision: 1024

Added:
   pkg/RTAQ/data/realized_library.RData
   pkg/RTAQ/man/realized_library.Rd
Log:


Added: pkg/RTAQ/data/realized_library.RData
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(Binary files differ)


Property changes on: pkg/RTAQ/data/realized_library.RData
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Added: svn:mime-type
   + application/octet-stream

Added: pkg/RTAQ/man/realized_library.Rd
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--- pkg/RTAQ/man/realized_library.Rd	                        (rev 0)
+++ pkg/RTAQ/man/realized_library.Rd	2012-05-16 19:00:49 UTC (rev 1024)
@@ -0,0 +1,20 @@
+ \name{realized_library} 
+ \docType{data} 
+ \alias{realized_library} 
+ \title{The realized library from the Oxford-Man Institute of Quantitative Finance} 
+ \description{ 
+ An xts object containing the daily returns, daily Realized Variance and daily Realized Kernels  ranging from  1996-01-03 up to 2009-03-01 for several indices and exchange rates. 
+Use \code{colnames(realized_library)} to see which assets are included. 
+The full library of the Oxford-Man Institute of Quantitative Finance can be found on their  website: http://realized.oxford-man.ox.ac.uk.} 
+\usage{data("realized_library")} 
+
+\references{ 
+Gerd Heber, Asger Lunde, Neil Shephard, and Kevin Sheppard (2009)
+  "Oxford-Man Institute's realized library, version 0.1", Oxford-Man
+  Institute, University of Oxford. 
+
+Shephard, N. and K. Sheppard (2010). Realising the future: forecasting with high 
+frequency based volatility (heavy) models. Journal of Applied Econometrics 25, 
+197-231.} 
+\format{xts object} 
+\keyword{datasets}  
\ No newline at end of file