[R-SIG-Finance] New Package PortfolioEffectEstim

Andrey Kostin andrey.kostin at snowfallsystems.com
Wed Feb 10 18:00:08 CET 2016

Dear R enthusiasts,

I would like to announce PortfolioEffectEstim package availability on CRAN:

Package features estimators for working with high frequency market data.

Microstructure Noise:
- Autocovariance Noise Variance
- Realized Noise Variance
- Unbiased Realized Noise Variance
- Noise-to-Signal Ratio

Price Variance:
- Two Series Realized Variance
- Multiple Series Realized Variance
- Modulated Realized Variance
- Jump Robust Modulated Realized Variance
- Uncertainty Zones Realized Variance
- Kernel Realized Variance (Bartlett, Cubic, 5th/6th/7th/8th-order,
Epanichnikov, Parzen, Tukey-Hanning kernels)

Price Quarticity:
- Realized Quarticity
- Realized Quad-power Quarticity
- Realized Tri-power Quarticity
- Modulated Realized Quarticity

Use could provide your own high frequency market data or use our
server-side equity prices since 2013.

More details in the package manual:

API Reference:


Andrey Kostin, PhD

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