[Highfrequency-commits] r137 - pkg/highfrequency/man

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

Author: kboudt
Date: 2015-06-29 14:11:05 +0200 (Mon, 29 Jun 2015)
New Revision: 137

Modified:
   pkg/highfrequency/man/BNSjumptest.Rd
   pkg/highfrequency/man/RQPVar.Rd
   pkg/highfrequency/man/RTPVar.Rd
   pkg/highfrequency/man/ivInference.Rd
Log:
Code update Giang after bug report. 

Modified: pkg/highfrequency/man/BNSjumptest.Rd
===================================================================
--- pkg/highfrequency/man/BNSjumptest.Rd	2015-06-29 12:10:52 UTC (rev 136)
+++ pkg/highfrequency/man/BNSjumptest.Rd	2015-06-29 12:11:05 UTC (rev 137)
@@ -20,24 +20,20 @@
 \mbox{BNSjumptest}= \frac{RV - IVestimator}{\sqrt{(\theta-2)\frac{1}{N} {IQestimator}}}
 }
 in which, \eqn{IVestimator} can be: bipower variance (BV), minRV, medRV. 
-\eqn{IQestimator} can be: tripower quarticity (TP), quadpower quarticity (QP), minRQ, medRQ.
+\eqn{IQestimator} can be: tripower quarticity (TPQ), quadpower quarticity (QPQ), minRQ, medRQ.
 
 \eqn{\theta}: depends on IVestimator. 
 (Huang and Tauchen (2005))
 }
 \usage{
-BNSjumptest(rdata, IVestimator= "BV", IQestimator= "TP", type= "linear", 
-            logtransform= FALSE, max= FALSE, align.by= NULL, align.period= NULL, 
-            makeReturns = FALSE, ...)
+BNSjumptest(rdata, IVestimator= "BV", IQestimator= "TPQ", type= "linear", logtransform= FALSE, 
+            max= FALSE, 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{IVestimator}{can be chosen among jump robust integrated variance estimators: BV, minRV, medRV 
-  and corrected threshold bipower variation (CTBV). 
-   If CTBV is chosen, an argument of \eqn{startV}, start point of auxiliary estimators in threshold estimation 
-   (Corsi et al. (2010)) can be included. BV by default.}
-  \item{IQestimator}{can be chosen among jump robust integrated quarticity estimators: TP, QP, minRQ and medRQ. TP by default.}
+  \item{IVestimator}{can be chosen among jump robust integrated variance estimators: BV, minRV, medRV and corrected threshold bipower variation (CTBV). If CTBV is chosen, an argument of \eqn{startV}, start point of auxiliary estimators in threshold estimation (Corsi et al. (2010) can be included. BV by default.}
+  \item{IQestimator}{can be chosen among jump robust integrated quarticity estimators: TPQ, QPQ, minRQ and medRQ. TPQ by default.}
   \item{type}{a method of BNS testing: can be linear or ratio. Linear by default.}
   \item{logtransform}{boolean, should be TRUE when QVestimator and IVestimator are in logarith form. FALSE by default.}
   \item{max}{boolean, should be TRUE when max adjustment in SE. FALSE by default.}  
@@ -86,4 +82,4 @@
 % Add one or more standard keywords, see file 'KEYWORDS' in the
 % R documentation directory.
 \keyword{ highfrequency }
-\keyword{ BNSjumptest }
+\keyword{ BNSjumptest }
\ No newline at end of file

Modified: pkg/highfrequency/man/RQPVar.Rd
===================================================================
--- pkg/highfrequency/man/RQPVar.Rd	2015-06-29 12:10:52 UTC (rev 136)
+++ pkg/highfrequency/man/RQPVar.Rd	2015-06-29 12:11:05 UTC (rev 137)
@@ -1,17 +1,17 @@
 \name{rQPVar}
 \alias{rQPVar}
 \title{
-Realized quadpower variation of highfrequency return series. 
+Realized quad-power variation of highfrequency return series. 
 }
 \description{
  
-Function returns the rQPVar, defined in Andersen et al. (2012).
+Function returns the realized quad-power variation, defined in Andersen et al. (2012).
 
 Assume there is \eqn{N} equispaced returns in period \eqn{t}. Let \eqn{r_{t,i}} be a return (with \eqn{i=1, \ldots,N}) in period \eqn{t}.
 
 Then, the rQPVar is given by
 \deqn{
-\mbox{rQPVar}_{t}=\frac{N}{N-3} \frac{\pi^2}{4} \sum_{i=4}^{N} \mbox(|r_{t,i}| |r_{t,i-1}| |r_{t,i-2}| |r_{t,i-3}|)
+\mbox{rQPVar}_{t}=\frac{N}{N-3} \left( 2^{1/4} \frac{\Gamma \left(3/4\right)}{ \Gamma \left(1/2\right)} \right)^{-4} \sum_{i=4}^{N} \mbox({|r_{t,i}|}^{1/2} {|r_{t,i-1}|}^{1/2} {|r_{t,i-2}|}^{1/2} {|r_{t,i-3}|}^{1/2})
 }
 }
 \usage{

Modified: pkg/highfrequency/man/RTPVar.Rd
===================================================================
--- pkg/highfrequency/man/RTPVar.Rd	2015-06-29 12:10:52 UTC (rev 136)
+++ pkg/highfrequency/man/RTPVar.Rd	2015-06-29 12:11:05 UTC (rev 137)
@@ -1,7 +1,7 @@
 \name{rTPVar}
 \alias{rTPVar}
 \title{
-Realized tripower variation of highfrequency return series.
+Realized tri-power variation of highfrequency return series.
 }
 \description{
  
@@ -11,7 +11,7 @@
 
 Then, the rTPVar is given by
 \deqn{
-\mbox{rTPVar}_{t}=\frac{N}{N-2} \frac{\Gamma^2 \left(1/2\right)}{4 \Gamma^2 \left(7/6\right)} \sum_{i=3}^{N} \mbox({|r_{t,i}|}^{4/3} {|r_{t,i-1}|}^{4/3} {|r_{t,i-2}|}^{4/3})
+\mbox{rTPVar}_{t}=\frac{N}{N-2} \left( 2^{1/3} \frac{\Gamma \left(5/6\right)}{ \Gamma \left(1/2\right)} \right)^{-3} \sum_{i=3}^{N} \mbox({|r_{t,i}|}^{2/3} {|r_{t,i-1}|}^{2/3} {|r_{t,i-2}|}^{2/3})
 }
 }
 \usage{

Modified: pkg/highfrequency/man/ivInference.Rd
===================================================================
--- pkg/highfrequency/man/ivInference.Rd	2015-06-29 12:10:52 UTC (rev 136)
+++ pkg/highfrequency/man/ivInference.Rd	2015-06-29 12:11:05 UTC (rev 137)
@@ -40,7 +40,7 @@
 \arguments{
   \item{rdata}{a zoo/xts object containing all returns in period t for one asset.}
   \item{IVestimator}{can be chosen among integrated variance estimators: RV, BV, minRV or medRV. RV by default.}
-  \item{IQestimator}{can be chosen among integrated quarticity estimators: rQuar, TP, QP, minRQ or medRQ. rQuar by default.}
+  \item{IQestimator}{can be chosen among integrated quarticity estimators: rQuar, realized tri-power quarticity (TPQ), quad-power quarticity (QPQ), minRQ or medRQ. TPQ by default.}
   \item{confidence}{confidence level set by users. 0.95 by default. }
   \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].}