Man pages for YalDan/hf.econometrics
High Frequency Econometrics
| AJ_09_variation | Ait-Sahalia & Jacod Variation (2009) |
| AJ_JumpTest | Ait-Sahalia & Jacod Jump Test (2012) |
| AJL_JumpTest_2012 | Ait-Sahalia, Jacod & Li Jump Test |
| clean_data | Data Cleaning |
| download_crypto_data | Download crypto data |
| gfun | Ait-Sahalia, Jacod & Li Jump Test Functions |
| jacod_preaveraging | Jacod Preaveraging (2009, 2010) |
| jump_test | Lapply Jump Test |
| LM_JumpTest | Lee & Mykland Jump Test |
| load_and_split | Load and split |
| load_csv_dump | Load CSV dump |
| make_clean_data_directory | Make clean data directory |
| make_data | Make data |
| make_regular_return_file | Make regular return file |
| make_return_file | Make return file |
| preprocess_jump_data | Preprocess LM jump test result |
| remove_bounceback | Remove bounceback outliers |
| remove_consecutive_jumps | Remove consecutive jumps |
| rename_raw_files | Make clean data directory |
| split_by_id | Split by ID |
