Closed waynelapierre closed 2 years ago
We will look into it - btw., you are also very welcome to contribute code to this repository!
Why do you think it would be a good fit for the highfrequency package? The paper you cite is about daily data + option prices. Could you elaborate on the connection to intraday jump tests?
I agree with you that it is not good to test jump stuff with daily data.
Check this paper instead:
https://www.sciencedirect.com/science/article/abs/pii/S0304407620300129
It would be great if the idiosyncratic jump is added to the highfrequency package.
https://www.sciencedirect.com/science/article/pii/S0304405X18302393?casa_token=r7f-bOe7DwcAAAAA:mxKHStb87NGB2pj-K8ngfhliBZ_11TPTbPIWJ0U55au8paoIDmjwm2Qny2csWqEMbCh-VICn