Displaying 2 results from an estimated 2 matches for "jindic".
Did you mean:
indic
2012 Jul 19
1
Change log(J) to log(J+1) to stop log(0) from occurring in harModel
...uot; ){
# Are the jumps significant? if not set to zero:
if( jumptest=="ABDJumptest" ){
TQ = apply.daily(data, TQfun);
J = J[,1];
teststats = ABDJumptest(RV=RM1,BPV=RM2,TQ=TQ );
}else{ jtest = match.fun(jumptest); teststats = jtest(data,...) }
Jindicators = teststats > qnorm(1-alpha);
J[!Jindicators] = 0;
# Get continuus components if necessary RV measures if necessary:
Cmatrix = matrix( nrow = dim(RVmatrix1)[1], ncol = 1 );
Cmatrix[Jindicators,] = RVmatrix2[Jindicators,1]; #Fill with
robust one in case of jump...
2012 Jul 19
1
Switching log(J) to log(J+1) to avoid log(0) in HAR-RVJ model
...uot; ){
# Are the jumps significant? if not set to zero:
if( jumptest=="ABDJumptest" ){
TQ = apply.daily(data, TQfun);
J = J[,1];
teststats = ABDJumptest(RV=RM1,BPV=RM2,TQ=TQ );
}else{ jtest = match.fun(jumptest); teststats = jtest(data,...) }
Jindicators = teststats > qnorm(1-alpha);
*J[!Jindicators] = 0;*
to
if( type == "HARRVCJ" ){
# Are the jumps significant? if not set to zero:
if( jumptest=="ABDJumptest" ){
TQ = apply.daily(data, TQfun);
J = J[,1];
teststats = ABDJumptest(RV...