This might be a question more suited for the R-SIG-Finance list.
Best,
Michael
On Wed, Jun 20, 2012 at 3:44 AM, rahul deora <rahulsparx2009 at gmail.com>
wrote:> Dear All,
>
> Are there any packages in R to carry out the jump detection test and find
> the jump sizes and its its time of occurence on high frequency data(5
> minute interval) using non-parametric approach suggested by Lee and Mykland
> in their paper "Jumps in Financial Markets: A New Nonparametric Test
and
> Jump Dynamics".
>
> Regards and Thanks in advance,
> Rahul
>
> ? ? ? ?[[alternative HTML version deleted]]
>
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