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JumpTest (version 1.1)

Financial Jump Detection

Description

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

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Version

Install

install.packages('JumpTest')

Monthly Downloads

13

Version

1.1

License

MIT + file LICENSE

Maintainer

Kaiqiao Li

Last Published

January 14th, 2019

Functions in JumpTest (1.1)

SVJ

SVJ model with one factor simulation
pcombine

p-values matrix to be pooled
SV

SV model with one factor simulation
jumptestperiod

Nonparametric jump test for a long period
SV2F

SV2F model simulation
jumptestday

Nonparametric jump test for each interval
SV1FJ

SV1FJ model simulation
ppool

p-values pooling and adjustment
SV1F

SV1F model with one factor simulation