Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data

My project (in R) about analyzing the effect of the first COVID-19 outbreak to the Vietnam's stock market.

This is a project replicating the result of John Cochrane's famous paper about return's predictability (https://www.jstor.org/stable/40056861)

This repository includes different R scripts (with the data used) for the study and application of different topics from the study of Econometrics.

This repo contains a compiled dataset of Ethereum prices and R code for the detection of speculative bubbles using backward supremum augmented Dickey-Fuller procedure.