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Topic: Jump detection code?
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Skirt Zhang

Posts: 7
Registered: 6/6/11
Jump detection code?
Posted: Jun 28, 2011 5:09 PM
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Hi there,

Does anyone have a m.file dealing with the jump detection in financial time series or other series? For example, the Barndorff-Nielsen and Shephard jump detection model or using High frequency data to detect jumps?

Thanks a lot in advance

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