jumptestperiod: Nonparametric jump test for a long period

In JumpTest: Financial Jump Detection

Description

perform nonparametric jump test for many intervals, and saved in vectors

Usage

jumptestperiod(retmat, method = "BNS")

Arguments

retmat	log return matrix, with intervals saved in columns
method	jump test methods, chosen from "BNS", "Amed", and "Amin"

Value

stat	test statistics
pvalue	p-value
adjp	adjusted p-values via 'BH' method

References

Barndorff-Nielsen, O. E. and N. Shephard (2006). "Econometrics of testing for jumps in financial economics using bipower variation." Journal of financial Econometrics 4(1): 1-30.

Andersen, T. G., et al. (2012). "Jump-robust volatility estimation using nearest neighbor truncation." Journal of Econometrics 169(1): 75-93.

Dumitru, A.-M. and G. Urga (2012). "Identifying jumps in financial assets: a comparison between nonparametric jump tests." Journal of Business & Economic Statistics 30(2): 242-255.

Examples

orip <- matrix(runif(3000),1000,3)
testres <- jumptestperiod(orip)
ts <- testres@stat
pv <- testres@pvalue
adjpv <- testres@adjp

Example output

Loading required package: MASS

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