High Frequency Price Estimators by PortfolioEffect
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Documentation for package ‘PortfolioEffectEstim’ version 1.4
Help Pages
| 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 |