YalDan / JumpDetectR

Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data
14Updated 3 years ago

Alternatives and similar repositories for JumpDetectR:

Users that are interested in JumpDetectR are comparing it to the libraries listed below