AJ_09_variation: Ait-Sahalia & Jacod Variation (2009)

In YalDan/hf.econometrics: High Frequency Econometrics

Ait-Sahalia & Jacod Variation (2009)

Description

Calculate sigma_hat according to Ait-Sahalia & Jacod (2009) "Estimating the degree of activity of jumps in high frequency data"

Usage

AJ_09_variation(DATA, k = 3, p = 4, gamma = 2, a = 10)

Arguments

DATA	A data.table with structure as provided in the example.
k	The degree of subsampling the frequency in the multipower variation. Defaults to 3.
p	The power for computing the multipower variation. Defaults to 4.
gamma	Value >1 for amplifying the truncation. Defaults to 2.
a	The level of truncation expressed in terms of numbers of stdev of the continuous part. Defaults to 10.

Value

Returns the variation estimation

YalDan/hf.econometrics documentation built on May 10, 2024, 2:18 a.m.