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 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
> m
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
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