Barndorff-Nielsen & Shephard (2004, 2006) daily jump detection realized measures

Version 1.0.0.0 (1.45 KB) by chris zhang
BNS2006jump
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Updated 6 Sep 2016

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% this zip includes 2 functions and a script that allows the detection of jumps in the financial data, suing BNS (2006) realized variance &realized bipower variation. raw data is in matlab struct format that is demonstrated in another script.

Cite As

chris zhang (2024). Barndorff-Nielsen & Shephard (2004, 2006) daily jump detection realized measures (https://www.mathworks.com/matlabcentral/fileexchange/59013-barndorff-nielsen-shephard-2004-2006-daily-jump-detection-realized-measures), MATLAB Central File Exchange. Retrieved .

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Created with R2012b
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Version Published Release Notes
1.0.0.0

na