Timeline for How to determine which realized volatility estimator should be used?
Current License: CC BY-SA 4.0
5 events
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| May 18, 2022 at 19:16 | history | edited | Pleb | CC BY-SA 4.0 |
minor corrections as noted by OP.
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| May 18, 2022 at 18:41 | comment | added | Pleb |
@Facet Yes. RVDAILY should be the lead in the lead-lag proposition. Therefore, dplyr::lead(RVDAILY,1)[-length(RVDAILY)] is correct. I will make an edit soon.
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| May 18, 2022 at 17:47 | comment | added | Facet |
Is LagRVDAILY <- dplyr::lag(RVDAILY, 1)[-1] should be replaced by dplyr::lead(RVDAILY, 1)[-length(RVDAILY)]? As the formmer is just the same as removing last one element.
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| Mar 26, 2022 at 15:13 | vote | accept | Facet | ||
| Mar 25, 2022 at 18:38 | history | answered | Pleb | CC BY-SA 4.0 |