microstructure

Here are 3 public repositories matching this topic...

YalDan / Jump_tests

Collection of code for detection and modeling of jumps (WIP)

finance cryptocurrency econometrics noise quantitative-finance financial-analysis jump volatility microstructure contagion statistical-test r-project

Updated Dec 10, 2020
R

QuantLet / JumpDetectR

Star

Scalable implementation of Lee / Mykland (2012) and Ait-Sahalia / Jacod (2012) Jump tests for noisy high frequency data

finance cryptocurrency econometrics noise quantitative-finance financial-analysis jump volatility microstructure contagion statistical-test r-project

Updated Oct 21, 2021
R

YalDan / JumpDetectR

Star

Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data

finance cryptocurrency econometrics noise quantitative-finance financial-analysis jump volatility microstructure contagion statistical-test r-project

Updated Jan 21, 2022
R

Improve this page

Add a description, image, and links to the microstructure topic page so that developers can more easily learn about it.

Curate this topic

Add this topic to your repo

To associate your repository with the microstructure topic, visit your repo's landing page and select "manage topics."

Learn more

Provide feedback

Saved searches

Use saved searches to filter your results more quickly

microstructure

Here are 3 public repositories matching this topic...

YalDan / Jump_tests

QuantLet / JumpDetectR

YalDan / JumpDetectR

Improve this page

Add this topic to your repo