Provide functionality to manage, clean and match highfrequency trades and quotes data, calculate various liquidity measures, estimate and forecast volatility, detect price jumps and investigate microstructure noise and intraday periodicity.
| Version: | 0.5.3 |
| Depends: | R (≥ 2.12.0), xts, zoo |
| Imports: | graphics, methods, stats, utils, grDevices, numDeriv, sandwich, robustbase, cubature, mvtnorm, chron, timeDate, MASS |
| Suggests: | FKF, BMS, rugarch |
| Published: | 2018-03-03 |
| 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 |
| Reference manual: | highfrequency.pdf |
| Package source: | highfrequency_0.5.3.tar.gz |
| Windows binaries: | r-devel: highfrequency_0.5.3.zip, r-release: highfrequency_0.5.3.zip, r-oldrel: highfrequency_0.5.3.zip |
| OS X binaries: | r-release: highfrequency_0.5.3.tgz, r-oldrel: highfrequency_0.5.3.tgz |
| Old sources: | highfrequency archive |
Please use the canonical form https://CRAN.R-project.org/package=highfrequency to link to this page.