Provide functionality to manage, clean and match highfrequency
trades and quotes data, calculate various liquidity measures, estimate and
forecast volatility, and investigate microstructure noise and intraday
periodicity.
| Version: |
0.4 |
| Depends: |
R (≥ 2.12.0), xts, zoo |
| Suggests: |
robustbase, cubature, mvtnorm, chron, timeDate, quantmod, MASS, sandwich, numDeriv, FKF, BMS, rugarch |
| Published: |
2014-11-28 |
| Author: |
Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut],
Giang Nguyen [ctb], Maarten Schermer [ctb] |
| Maintainer: |
Kris Boudt
<Kris.Boudt at econ.kuleuven.be> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
yes |
| In views: |
Finance |
| CRAN checks: |
highfrequency results |