search for: z999

...e(names(ddx)), m=NA, rtn=NA, rv=NA, bv=NA, zg=NA, lzg=NA, zj=NA, zmj=NA, lzm=NA, zgtp=NA, lzgtp=NA, zmjtp=NA, zjtp=NA, lzmtp=NA); for (i in seq_along(ddx)) { ##quotes for day i x = dollar$mid[ddx[[i]]]; n = length(x); y = log(x[-1]/x[-n]);#log price difference y2 = y^2 m = length(y); z999 = (qnorm(1 - .001)) if (m>=260) { ##raw moments rtn = sum(y) * 100 rv = sum(y*y);#realized variance [Y] bv = (m/(m-1))*(pi/2)*(sum(abs(y[-1]*y[-m])));#bi-power vairiation #mu_1^{-2}*{Y}^[1,1] rj = (rv-bv)/rv tmp = apply(embed(y, 4), 1, prod);#y{j}*y{j-1}*y{j-2}*y{j-3}...