JumpTest: Financial Jump Detection

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

Package details

AuthorKaiqiao Li [aut, cre], Pei Fen Kuan [aut], Kan He [ctb], Lizhou Nie [ctb], Wei Zhu [ctb]
MaintainerKaiqiao Li <[email protected]>
LicenseMIT + file LICENSE
Version1.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("JumpTest")

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JumpTest documentation built on May 1, 2019, 9:45 p.m.