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What are the R packages that let you estimate Multi Scale Realized Volatility (MSRV)? So far I've only found highfrequency (which comes with Realized Kernel as well), but from what I understand it only has Two Scale Realized Volatility (TSRV) estimator.

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I'm not aware of a R package implementing the MSRV, however you can find its implementation in the Kevin Sheppard MFE Toolbox (Matlab). You’ll have to translate it for R . (the source code is available)

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  • $\begingroup$ Thanks! I might be better off switching to Matlab after all. This is not the first time I find something quant-related is implemented in Matlab but not in R. $\endgroup$ Dec 1, 2015 at 16:05
  • $\begingroup$ @AlwaysRightNeverLeft I think it is an exception, according to me, the highfrequency package is the most available advanced package if you want to deal with highfrequency cleaning. You won't find matlab routines to clean/merge high frequency data. $\endgroup$
    – Malick
    Dec 1, 2015 at 17:46
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    $\begingroup$ Switching for estimation, that is. Clean the data with highfrequency and plug the results in Matlab. $\endgroup$ Dec 1, 2015 at 17:49

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