microstructure

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QuantLet / JumpDetectR

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

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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

YalDan / Jump_tests

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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

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microstructure

Here are 3 public repositories matching this topic...

QuantLet / JumpDetectR

YalDan / JumpDetectR

YalDan / Jump_tests

Improve this page

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