DriftBurstHypothesis: Calculates the Test-Statistic for the Drift Burst Hypothesis

Calculates the T-Statistic for the drift burst hypothesis from the working paper Christensen, Oomen and Reno (2018) <DOI:10.2139/ssrn.2842535>. The authors' MATLAB code is available upon request, see: <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2842535>.

Package details

AuthorEmil Sjoerup
MaintainerEmil Sjoerup <emilsjoerup@live.dk>
URL https://github.com/emilsjoerup/DriftBurstHypothesis
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the DriftBurstHypothesis package in your browser

Any scripts or data that you put into this service are public.

DriftBurstHypothesis documentation built on July 14, 2020, 1:06 a.m.