[Highfrequency-commits] r38 - in pkg/highfrequency: inst/doc man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sat Aug 18 23:50:11 CEST 2012
Author: jonathan
Date: 2012-08-18 23:50:10 +0200 (Sat, 18 Aug 2012)
New Revision: 38
Modified:
pkg/highfrequency/inst/doc/highfrequency.pdf
pkg/highfrequency/man/medRV.Rd
pkg/highfrequency/man/minRV.Rd
Log:
doc update
Modified: pkg/highfrequency/inst/doc/highfrequency.pdf
===================================================================
(Binary files differ)
Modified: pkg/highfrequency/man/medRV.Rd
===================================================================
--- pkg/highfrequency/man/medRV.Rd 2012-08-17 22:45:43 UTC (rev 37)
+++ pkg/highfrequency/man/medRV.Rd 2012-08-18 21:50:10 UTC (rev 38)
@@ -1,67 +1,66 @@
-\name{medRV}
-\Rdversion{1.1}
-\alias{medRV}
-\title{
-medRV
-}
-\description{
-Function returns the medRV, defined in Andersen et al. (2009).
-
-Let \eqn{r_{t,i}} be a return (with \eqn{i=1,\ldots,M}) in period \eqn{t}.
-
-Then, the medRV is given by
-\deqn{
- \mbox{medRV}_{t}=\frac{\pi}{6-4\sqrt{3}+\pi}\left(\frac{M}{M-2}\right) \sum_{i=2}^{M-1} \mbox{med}(|r_{t,i-1}|,|r_{t,i}|, |r_{t,i+1}|)^2
-}
-}
-
-\usage{
-medRV(rdata,align.by=NULL,align.period=NULL,makeReturns=FALSE,...)
-}
-
-\arguments{
- \item{rdata}{ a zoo/xts object containing all returns in period t for one asset. }
- \item{align.by}{a string, align the tick data to "seconds"|"minutes"|"hours".}
- \item{align.period}{an integer, align the tick data to this many [seconds|minutes|hours].}
- \item{makeReturns}{boolean, should be TRUE when rdata contains prices instead of returns. FALSE by default.}
- \item{...}{additional arguments.}
-}
-
-\section{Details}{
-
-The medRV belongs to the class of realized volatility measures in this package
-that use the series of high-frequency returns \eqn{r_{t,i}} of a day \eqn{t}
-to produce an ex post estimate of the realized volatility of that day \eqn{t}.
-medRV is designed to be robust to price jumps.
-The difference between RV and medRV is an estimate of the realized jump
-variability. Disentangling the continuous and jump components in RV
-can lead to more precise volatility forecasts,
-as shown in Andersen et al. (2007) and Corsi et al. (2010).
-}
-
-\value{
-numeric
-}
-
-\references{
-Andersen, T. G., D. Dobrev, and E. Schaumburg (2009). Jump-robust volatility
-estimation using nearest neighbor truncation. NBER Working Paper No.
-15533.
-
-Andersen, T.G., T. Bollerslev, and F. Diebold (2007). Roughing it up: including
-jump components in the measurement, modelling and forecasting of return
-volatility. The Review of Economics and Statistics 89 (4), 701-720.
-
-Corsi, F., D. Pirino, and R. Reno (2010). Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting.
-Journal of Econometrics 159 (2), 276-288.
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-\examples{
- data(sample_tdata);
- medrv = medRV( rdata = sample_tdata$PRICE, align.by ="minutes",
- align.period =5, makeReturns=TRUE);
- medrv
-}
-
-\keyword{volatility}
+\name{medRV}
+\Rdversion{1.1}
+\alias{medRV}
+\title{
+medRV
+}
+\description{
+Function returns the medRV, defined in Andersen et al. (2009).
+
+Let \eqn{r_{t,i}} be a return (with \eqn{i=1,\ldots,M}) in period \eqn{t}.
+
+Then, the medRV is given by
+\deqn{
+ \mbox{medRV}_{t}=\frac{\pi}{6-4\sqrt{3}+\pi}\left(\frac{M}{M-2}\right) \sum_{i=2}^{M-1} \mbox{med}(|r_{t,i-1}|,|r_{t,i}|, |r_{t,i+1}|)^2
+}
+}
+
+\usage{
+medRV(rdata,align.by=NULL,align.period=NULL,makeReturns=FALSE,...)
+}
+
+\arguments{
+ \item{rdata}{ a zoo/xts object containing all returns in period t for one asset. }
+ \item{align.by}{a string, align the tick data to "seconds"|"minutes"|"hours".}
+ \item{align.period}{an integer, align the tick data to this many [seconds|minutes|hours].}
+ \item{makeReturns}{boolean, should be TRUE when rdata contains prices instead of returns. FALSE by default.}
+ \item{...}{additional arguments.}
+}
+
+\section{Details}{
+
+The medRV belongs to the class of realized volatility measures in this package
+that use the series of high-frequency returns \eqn{r_{t,i}} of a day \eqn{t}
+to produce an ex post estimate of the realized volatility of that day \eqn{t}.
+medRV is designed to be robust to price jumps.
+The difference between RV and medRV is an estimate of the realized jump
+variability. Disentangling the continuous and jump components in RV
+can lead to more precise volatility forecasts,
+as shown in Andersen et al. (2007) and Corsi et al. (2010).
+}
+
+\value{
+numeric
+}
+
+\references{
+Andersen, T. G., D. Dobrev, and E. Schaumburg (2012). Jump-robust volatility
+estimation using nearest neighbor truncation. Journal of Econometrics, 169 (1), 75-93.
+
+Andersen, T.G., T. Bollerslev, and F. Diebold (2007). Roughing it up: including
+jump components in the measurement, modelling and forecasting of return
+volatility. The Review of Economics and Statistics 89 (4), 701-720.
+
+Corsi, F., D. Pirino, and R. Reno (2010). Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting.
+Journal of Econometrics 159 (2), 276-288.
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+\examples{
+ data(sample_tdata);
+ medrv = medRV( rdata = sample_tdata$PRICE, align.by ="minutes",
+ align.period =5, makeReturns=TRUE);
+ medrv
+}
+
+\keyword{volatility}
Modified: pkg/highfrequency/man/minRV.Rd
===================================================================
--- pkg/highfrequency/man/minRV.Rd 2012-08-17 22:45:43 UTC (rev 37)
+++ pkg/highfrequency/man/minRV.Rd 2012-08-18 21:50:10 UTC (rev 38)
@@ -1,50 +1,49 @@
-\name{minRV}
-\Rdversion{1.1}
-\alias{minRV}
-\title{
-minRV
-}
-\description{
-Function returns the minRV, defined in Andersen et al. (2009).
-
-Let \eqn{r_{t,i}} be a return (with \eqn{i=1,\ldots,M}) in period \eqn{t}.
-
-Then, the minRV is given by
-\deqn{
-\mbox{minRV}_{t}=\frac{\pi}{\pi - 2}\left(\frac{M}{M-1}\right) \sum_{i=1}^{M-1} \mbox{min}(|r_{t,i}| ,|r_{t,i+1}|)^2
-}
-
-}
-
-\usage{
- minRV(rdata,align.by=NULL,align.period=NULL,makeReturns=FALSE,...)
-}
-
-\arguments{
- \item{rdata}{a zoo/xts object containing all returns in period t for one asset. }
- \item{align.by}{a string, align the tick data to "seconds"|"minutes"|"hours".}
- \item{align.period}{an integer, align the tick data to this many [seconds|minutes|hours].}
- \item{makeReturns}{boolean, should be TRUE when rdata contains prices instead of returns. FALSE by default.}
- \item{...}{additional arguments.}
-}
-
-
-\value{
-numeric
-}
-
-\references{
-Andersen, T. G., D. Dobrev, and E. Schaumburg (2009). Jump-robust volatility
-estimation using nearest neighbor truncation. NBER Working Paper No.
-15533.}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-\examples{
- data(sample_tdata);
-
- minrv = minRV( rdata = sample_tdata$PRICE, align.by ="minutes",
- align.period =5, makeReturns=TRUE);
- minrv
-}
-
+\name{minRV}
+\Rdversion{1.1}
+\alias{minRV}
+\title{
+minRV
+}
+\description{
+Function returns the minRV, defined in Andersen et al. (2009).
+
+Let \eqn{r_{t,i}} be a return (with \eqn{i=1,\ldots,M}) in period \eqn{t}.
+
+Then, the minRV is given by
+\deqn{
+\mbox{minRV}_{t}=\frac{\pi}{\pi - 2}\left(\frac{M}{M-1}\right) \sum_{i=1}^{M-1} \mbox{min}(|r_{t,i}| ,|r_{t,i+1}|)^2
+}
+
+}
+
+\usage{
+ minRV(rdata,align.by=NULL,align.period=NULL,makeReturns=FALSE,...)
+}
+
+\arguments{
+ \item{rdata}{a zoo/xts object containing all returns in period t for one asset. }
+ \item{align.by}{a string, align the tick data to "seconds"|"minutes"|"hours".}
+ \item{align.period}{an integer, align the tick data to this many [seconds|minutes|hours].}
+ \item{makeReturns}{boolean, should be TRUE when rdata contains prices instead of returns. FALSE by default.}
+ \item{...}{additional arguments.}
+}
+
+
+\value{
+numeric
+}
+
+\references{
+Andersen, T. G., D. Dobrev, and E. Schaumburg (2012). Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics, 169 (1), 75-93.
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+\examples{
+ data(sample_tdata);
+
+ minrv = minRV( rdata = sample_tdata$PRICE, align.by ="minutes",
+ align.period =5, makeReturns=TRUE);
+ minrv
+}
+
\keyword{ volatility}
\ No newline at end of file
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