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GitHub / QuantLet / JumpDetectR
Scalable implementation of Lee / Mykland (2012) and Ait-Sahalia / Jacod (2012) Jump tests for noisy high frequency data
JSON API: https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/QuantLet%2FJumpDetectR
Fork of YalDan/JumpDetectR
Stars: 13
Forks: 4
Open Issues: 0
License: None
Language: R
Repo Size: 5.26 MB
Dependencies:
0
Created: over 3 years ago
Updated: 9 months ago
Last pushed: over 2 years ago
Last synced: about 1 month ago
Commit Stats
Commits: 8
Authors: 2
Mean commits per author: 4.0
Development Distribution Score: 0.25
More commit stats: https://commits.ecosyste.ms/hosts/GitHub/repositories/QuantLet/JumpDetectR
Topics: contagion, cryptocurrency, econometrics, finance, financial-analysis, jump, microstructure, noise, quantitative-finance, r-project, statistical-test, volatility
Files
No dependencies found