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Thread Subject:
Jump detection code?

Subject: Jump detection code?

From: Skirt Zhang

Date: 28 Jun, 2011 21:09:04

Message: 1 of 1

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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