High Frequency Price Estimators by PortfolioEffect


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Documentation for package ‘PortfolioEffectEstim’ version 1.4

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estimator-class Class '"estimator"'
estimator_availableSymbols Get All Symbol List
estimator_create Creates new estimator
estimator_defaultSettings Estimator Default Settings
estimator_getSettings Get Estimator Settings
estimator_settings Estimator Settings
noise_acnv Autocovariance Noise Variance
noise_nts Noise to Signal Ratio
noise_rnv Rescaled Noise Variance
noise_urnv Unbiased Rescaled Noise Variance
noise_uznv Uncertainty Zones Noise Variance
price Get Asset Price
quarticity_mrq Modulated Realized Quarticity
quarticity_mtq Modulated Tripower Quarticity
quarticity_rq Realized Quarticity
quarticity_rqq Realized Quadpower Quarticity
quarticity_rtq Realized Tripower Quarticity
variance_jrmrv Jump Robust Modulated Realized Variance
variance_jrmrvRolling Jump Robust Modulated Realized Variance
variance_krv Kernel Realized Variance
variance_krvRolling Kernel Realized Variance
variance_mrv Modulated Realized Variance
variance_mrvRolling Modulated Realized Variance
variance_msrv Multiple Scales Realized Variance
variance_msrvRolling Multiple Scales Realized Variance
variance_rv Realized Variance
variance_rvRolling Realized Variance
variance_tsrv Two Scales Realized Variance
variance_tsrvRolling Two Scales Realized Variance
variance_uzrv Uncertainty Zones Realized Variance