This package implemented three nonparametric financial jump detection testing methods and provided p-values pooling and false discovery rate adjustments.
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R package for high frequency financial jump detection testing, with p-values pooling and false discovery rate adjustment
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Aprilhanlu/JumpTest
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R package for high frequency financial jump detection testing, with p-values pooling and false discovery rate adjustment
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- R 58.8%
- C++ 36.5%
- C 4.7%