Financial Jump Detection


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Documentation for package ‘JumpTest’ version 1.1

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jumptestday Nonparametric jump test for each interval
jumptestperiod Nonparametric jump test for a long period
pcombine p-values matrix to be pooled
ppool p-values pooling and adjustment
SV SV model with one factor simulation
SV1F SV1F model with one factor simulation
SV1FJ SV1FJ model simulation
SV2F SV2F model simulation
SVJ SVJ model with one factor simulation