I am think of using the excel template http://investexcel.net/jump-diffusion/ to identify jumps in time series of futures data. Is this modeling strong enough to identify jumps that occur due to news releases in the commodity markets.
This is an interesting concept. It seems to function as the website describes, so if this what you want to estimate, than this macro will work.
In econometrics, there is a somewhat different approach to modeling jumps ( "structural breaks") in a time series. These tests test whether the coefficients in a time-series regression vary over the periods defined by an unknown break date.
See the following references for more on structural breaks:
Andrews, D. W. K. 1993. Tests for parameter instability and structural change with unknown change point. Econometrica 61: 821–856.
Hansen, B. E. 1997. Approximate asymptotic p values for structural-change tests. Journal of Business and Economic Statistics 15: 60–67.
Perron, P. 2006. Dealing with structural breaks. In Palgrave Handbook of Econometrics: Econometric Theory, Vol I, ed. T. C. Mills and K. Patterson, 278–352. Basingstoke, UK: Palgrave.
I hope this helps
Ariel
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