The method implmented is that of:
Lee, Suzanne S., and Per A. Mykland. "Jumps in financial markets: A new nonparametric test and jump dynamics." The Review of Financial Studies 21.6 (2007): 2535-2563.
引用格式
Martin Magris (2024). Lee Mykland nonparametric jump detection (https://www.mathworks.com/matlabcentral/fileexchange/71058-lee-mykland-nonparametric-jump-detection), MATLAB Central File Exchange. 检索来源 .
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