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Bollerslev, Todorov & Li (2013) intraday jump detection algorithm

version 1.0.0.0 (2.09 KB) by chris zhang
BTL2013intradayjump

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Updated 06 Sep 2016

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% this zip contains 4 files, 3 functions and 1 script, run the script in section. comments enclosed should be self-explanatory. raw data is in matlab struct farmat. to transform raw data into struct, see separate file named "datato struct", it is user's responsibility to amend for their own purposes.

Cite As

chris zhang (2021). Bollerslev, Todorov & Li (2013) intraday jump detection algorithm (https://www.mathworks.com/matlabcentral/fileexchange/59014-bollerslev-todorov-li-2013-intraday-jump-detection-algorithm), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (9)

Mohammadreza Faraji

I emailed you to get the data, but I got failure delivery message which says the address couldn't be found.
Can you email me the data at mrf.faraji@gmail.com

chris zhang

I uploaded a sample data file and was deleted by the Matlab web since. If you have difficulties getting the right data structure, flip me an email (chris.zhang@aut.ac.nz) and I will send the data to you.

chris zhang

There is a separate code for Pairs Trading, in which a snapshot of the struct data is enclosed.
USE THE CODE I PROVIDED TO LOOP THROUGH THE RAW DATA (It could take a while, just experiment on a small piece of data and put into my code see if works), YOU SHOULD GET A DATATYPE LOOK LIKE WHAT IS IN THE SNAPSHOT.

xiaoqiang zhang

Chris zhang, could you please share some raw data or submit a picture of the raw data?

xiaoqiang zhang

so where is raw data file??

xiaoqiang zhang

Niu

thank you

darwusch darwusch

Seperate data file is missing?

chine

MATLAB Release Compatibility
Created with R2014b
Compatible with any release
Platform Compatibility
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