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jonathancornelissen / highfrequency

The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.
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idiosyncratic jump #52

Closed waynelapierre closed 2 years ago

waynelapierre commented 3 years ago

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

onnokleen commented 3 years ago

We will look into it - btw., you are also very welcome to contribute code to this repository!

onnokleen commented 3 years ago

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?

waynelapierre commented 3 years ago

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