get_cumu_demeaned_resid¶
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hf.get_cumu_demeaned_resid(price, y_hat=None)[source]¶ From a pd.Series of tick prices and predictions get a pd.Series of tick log-prices with zero-mean returns, i.e. the reconstructed log-prices from de-meaned log-return residuals. These log-prices are inputs to the integrated covariance matrix estimators.
- Parameters
- seriespd.Series
Tick prices of one asset with datetime index.
- y_hatpd.Series
The predictions.
- Returns
- outpd.Series
Log-prices corresponding to zero-mean returns.
