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 <[email protected]>
LicenseGPL-3
Version0.2.0.1
URL https://github.com/emilsjoerup/DriftBurstHypothesis
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("DriftBurstHypothesis")

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DriftBurstHypothesis documentation built on Oct. 6, 2019, 5:05 p.m.