Financial Jump Detection

A fast simulation on stochastic volatility model, with jump tests, p-values pooling, and FDR adjustments.


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install.packages("JumpTest")

1.1 by Kaiqiao Li, 2 months ago


Browse source code at https://github.com/cran/JumpTest


Authors: Kaiqiao Li [aut, cre] , Pei Fen Kuan [aut] , Kan He [ctb] , Lizhou Nie [ctb] , Wei Zhu [ctb]


Documentation:   PDF Manual  


MIT + file LICENSE license


Imports Rcpp, methods, stats

Depends on MASS

Suggests knitr, rmarkdown

Linking to Rcpp, RcppEigen


See at CRAN