jumptestperiod {JumpTest} | R Documentation |
perform nonparametric jump test for many intervals, and saved in vectors
jumptestperiod(retmat, method = "BNS")
retmat |
log return matrix, with intervals saved in columns |
method |
jump test methods, chosen from "BNS", "Amed", and "Amin" |
stat |
test statistics |
pvalue |
p-value |
adjp |
adjusted p-values via 'BH' method |
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.
orip <- matrix(runif(3000),1000,3) testres <- jumptestperiod(orip) ts <- testres@stat pv <- testres@pvalue adjpv <- testres@adjp