Intraday data code

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WalidAhmed
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Joined: Fri Feb 16, 2018 7:11 am

Intraday data code

Postby WalidAhmed » Fri Feb 16, 2018 10:38 am

Hi there,
I am conducting a research that uses hourly frequency data starting from 1/3/2012 0:00 up to 2/9/2018 23:00. I am just wondering how to code an equation that calculates the realized bipower variation (RBV) model of Barndorff-Nielsen and Shephard (2004) on a daily basis. Please see the equation specification in the attached file
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RBVt.docx
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