[Blotter-commits] r587 - pkg/RTAQ/man

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

Author: jonathan
Date: 2011-03-28 21:00:01 +0200 (Mon, 28 Mar 2011)
New Revision: 587

Modified:
   pkg/RTAQ/man/RTSCov.rd
   pkg/RTAQ/man/TSCov.rd
   pkg/RTAQ/man/makePsd.Rd
   pkg/RTAQ/man/spotVol.rd
Log:
update references

Modified: pkg/RTAQ/man/RTSCov.rd
===================================================================
--- pkg/RTAQ/man/RTSCov.rd	2011-03-28 13:04:02 UTC (rev 586)
+++ pkg/RTAQ/man/RTSCov.rd	2011-03-28 19:00:01 UTC (rev 587)
@@ -88,7 +88,7 @@
 }
 
 \references{
-Boudt K. and Zhang, J. 2010. Jump robust two time scale covariance estimation and realized volatility budgets.
+Boudt K. and Zhang, J. 2010. Jump robust two time scale covariance estimation and realized volatility budgets. Mimeo.
 
 Harris, F., T. McInish, G. Shoesmith, and R. Wood (1995). Cointegration, error
 correction, and price discovery on infomationally linked security markets. Journal

Modified: pkg/RTAQ/man/TSCov.rd
===================================================================
--- pkg/RTAQ/man/TSCov.rd	2011-03-28 13:04:02 UTC (rev 586)
+++ pkg/RTAQ/man/TSCov.rd	2011-03-28 19:00:01 UTC (rev 587)
@@ -83,8 +83,8 @@
 Determining integrated volatility with noisy high-frequency data. Journal of the
 American Statistical Association 100, 1394-1411.
 
-Zhang, L. (2010). Estimating covariation: Epps effect, microstructure noise. Journal
-of Econometrics, forthcoming.
+Zhang, L. (2011). Estimating covariation: Epps effect, microstructure noise. Journal
+of Econometrics 160, 33-47.
 }
 
 \author{ Jonathan Cornelissen and Kris Boudt}

Modified: pkg/RTAQ/man/makePsd.Rd
===================================================================
--- pkg/RTAQ/man/makePsd.Rd	2011-03-28 13:04:02 UTC (rev 586)
+++ pkg/RTAQ/man/makePsd.Rd	2011-03-28 19:00:01 UTC (rev 587)
@@ -39,7 +39,7 @@
 jumps in multivariate price processes using bipower covariation. Discussion
 paper, Nuffield College, Oxford University.
 
-Fan, J., Y. Li, and K. Yu (2010). Vast volatility matrix estimation using high frequency data for portfolio selection.
+Fan, J., Y. Li, and K. Yu (2010). Vast volatility matrix estimation using high frequency data for portfolio selection. Working paper.
 
 Rousseeuw, P. and G. Molenberghs (1993). Transformation of non positive semidefinite correlation matrices. Communications in Statistics - Theory and Methods 22, 965-984.
 }

Modified: pkg/RTAQ/man/spotVol.rd
===================================================================
--- pkg/RTAQ/man/spotVol.rd	2011-03-28 13:04:02 UTC (rev 586)
+++ pkg/RTAQ/man/spotVol.rd	2011-03-28 19:00:01 UTC (rev 587)
@@ -64,8 +64,8 @@
 Barndorff-Nielsen, O. and N. Shephard (2004). Power and bipower variation with 
 stochastic volatility and jumps. Journal of Financial Econometrics 2 (1), 1-37.
 
-Boudt K., C. Croux C. and S. Laurent (2010).  Robust estimation of intraweek periodicity in volatility 
-and jump detection. Journal of Empirical Finance, forthcoming. 
+Robust estimation of intraweek periodicity in volatility and jump detection. 
+Journal of Empirical Finance 18, 353-367
 
 Taylor, S. J. and X. Xu (1997). The incremental volatility information in one million foreign exchange quotations. 
 Journal of Empirical Finance 4, 317-340.