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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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Function BNSjumpTest() can not work with IVestimator = "rThresholdCov" #97

Closed TigerZhao007 closed 1 year ago

TigerZhao007 commented 1 year ago 
min example:

library(highfrequency)
data("sampleOneMinuteData", package = "highfrequency")
# example from Analyzing Intraday Financial Data in R: The highfrequency Package
# correct result.
daily <- BNSjumpTest(
  sampleOneMinuteData[, list(DT, MARKET)],
  makeReturns = TRUE)

# Using  IVestimator = "rThresholdCov", Failed
daily2 <- BNSjumpTest(
            sampleOneMinuteData[, list(DT, MARKET)],
            IVestimator = "rThresholdCov",
            makeReturns = TRUE)
onnokleen commented 1 year ago

Does this problem still exist? I can't replicate it right now. What is your error message?