Package: highfrequency
Version: 0.5.3
Date: 2018-03-03
Title: Tools for Highfrequency Data Analysis
Authors@R: c(person("Kris", "Boudt", role = c("aut", "cre"),
                     email = "Kris.Boudt@econ.kuleuven.be"),
             person("Jonathan", "Cornelissen", role = c("aut")),
             person("Scott", "Payseur", role = c("aut"),
                    email = "Scott.Payseur@gmail.com"),
             person("Giang", "Nguyen", role = c("ctb")),
             person("Maarten", "Schermer", role = c("ctb")))
Author: Kris Boudt [aut, cre],
  Jonathan Cornelissen [aut],
  Scott Payseur [aut],
  Giang Nguyen [ctb],
  Maarten Schermer [ctb]
Maintainer: Kris Boudt
 <Kris.Boudt@econ.kuleuven.be>
Description: 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.
License: GPL (>= 2)
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
NeedsCompilation: yes
Packaged: 2018-03-02 23:50:28 UTC; gebruiker
Repository: CRAN
Date/Publication: 2018-03-03 08:00:31 UTC
Built: R 3.4.4; x86_64-w64-mingw32; 2019-04-25 19:48:57 UTC; windows
Archs: i386, x64
