[R] Package for Jump detection

[R. Michael Weylandt]

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
>
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>
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