realisedPowerVariation {BSS} | R Documentation |
realisedPowerVariation
calculates the realised power variation for a BSS process, which is then
used as a component of estimating the accumulated volatility process.
realisedPowerVariation(Y, p)
Y |
a vector of observations of a BSS process. |
p |
the power variation to be calculated. |
The function returns the sum of the pth powers of the absolute first differences of the BSS process.