realisedPowerVariation {BSS}

Realised power variation

Description

realisedPowerVariation calculates the realised power variation for a BSS process, which is then used as a component of estimating the accumulated volatility process.

Usage

realisedPowerVariation(Y, p)

Arguments

Y

a vector of observations of a BSS process.

p

the power variation to be calculated.

Value

The function returns the sum of the pth powers of the absolute first differences of the BSS process.