This might be a question more suited for the R-SIG-Finance list. Best, Michael
On Wed, Jun 20, 2012 at 3:44 AM, rahul deora <rahulsparx2...@gmail.com> wrote: > Dear All, > > Are there any packages in R to carry out the jump detection test and find > the jump sizes and its its time of occurence on high frequency data(5 > minute interval) using non-parametric approach suggested by Lee and Mykland > in their paper "Jumps in Financial Markets: A New Nonparametric Test and > Jump Dynamics". > > Regards and Thanks in advance, > Rahul > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
