YalDan / hf.econometricsView on GitHub
Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data
17May 6, 2024Updated 2 years ago

Alternatives and similar repositories for hf.econometrics

Users that are interested in hf.econometrics are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.

Sorting:

Are these results useful?