YalDan/hf.econometrics

Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data

语言：R · GitHub 星标：17 · Fork：9

话题：bitcoin · cryptocurrency · financial-analysis · financial-data · financial-econometrics · financial-engineering · high-frequency-data · high-frequency-trading

在 GitHub 上查看原仓库