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BayerSe/RealizedQuantities

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Realized Quantities

The main.py file contains a large variety of realized quantities. To date, the following are implemented:

  • Realized Variance
  • Realized Semivariance
  • Realized Skewness
  • Realized Kurtosis
  • Realized Absolute Variation
  • Realized Bipower Variation
  • Standardized Tri-Power Quarticity
  • Signed Jump Variation

This file uses the data generated from the ResampleHF repo.

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Estimation of realized quantities

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