Hi,

I’m trying to use the highfrequency package and I have a question on Jump detection using the ABDJumpTest function in realized.R which is called from function harModel

Looking at the current code for this function, I see:

ABDJumptest = function(RV, BPV, TQ){ # Comput jump detection stat mentioned in roughing paper

mu1 = sqrt(2/pi);

n = length(RV);

zstat = ((1/n)^(-1/2))*((RV-BPV)/RV)*( (mu1^(-4) + 2*(mu1^(-2))-5) * pmax( 1,TQ*(BPV^(-2)) ) )^(-1/2);

return(zstat);

}

I believe this is trying to implement Equation 18 in this paper:

http://www.nber.org/papers/w11775.pdf <

http://www.nber.org/papers/w11775.pdf>

If I read the paper correctly, n should be the number of observations per day. For example if we are passing in 5 minute returns, n should be the number of 5 minute intervals during a trading day.

In the current code, n is being used as the number of days in the set of returns.

Does anybody have any thoughts on this? I’m new to R-Sig and I’m more of a Python than a R programmer, so if this is the wrong forum, would appreciate someone pointing me to the right forum.

Best,

Sal

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