Scalable implementation of Lee / Mykland (2012) and Ait-Sahalia / Jacod (2012) Jump tests for noisy high frequency data
-
Updated
Oct 21, 2021 - R
Scalable implementation of Lee / Mykland (2012) and Ait-Sahalia / Jacod (2012) Jump tests for noisy high frequency data
Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data
Collection of code for detection and modeling of jumps (WIP)
Add a description, image, and links to the statistical-test topic page so that developers can more easily learn about it.
To associate your repository with the statistical-test topic, visit your repo's landing page and select "manage topics."