Financial Jump Detection

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


Reference manual

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1.1 by Kaiqiao Li, a year ago

Browse source code at

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