jacod_preaveraging: Jacod Preaveraging (2009, 2010)
In YalDan/hf.econometrics: High Frequency Econometrics
View source: R/jacod_preaveraging.R
jacod_preaveraging R Documentation
Jacod Preaveraging (2009, 2010)
Description
Calculate sigma_hat according to the pre-averaging approach Jacod et al. (2009, 2010)
Usage
jacod_preaveraging(DATA, kn = 100)
Arguments
DATA
A data.table with structure as provided in the example.
kn
The degree of subsampling during preaveraging. Defaults to 100.
Value
Returns the variation estimation
YalDan/hf.econometrics documentation built on May 10, 2024, 2:18 a.m.
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View source: R/jacod_preaveraging.R
| jacod_preaveraging | R Documentation |
Jacod Preaveraging (2009, 2010)
Description
Calculate sigma_hat according to the pre-averaging approach Jacod et al. (2009, 2010)
Usage
jacod_preaveraging(DATA, kn = 100)
Arguments
DATA |
A data.table with structure as provided in the example. |
kn |
The degree of subsampling during preaveraging. Defaults to 100. |
Value
Returns the variation estimation
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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