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 [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.