R interface to PortfolioEffect cloud service for estimating
high frequency price variance, quarticity, microstructure noise variance,
and other metrics in both aggregate and rolling window flavors.
Constructed estimators could use client-side market data or access
HF intraday price history for all major US Equities.
|Author||Andrey Kostin [aut, cre], Aleksey Zemnitskiy [aut], Oleg Nechaev [aut]|
|Date of publication||2016-09-17 19:54:52|
|Maintainer||Andrey Kostin <[email protected]>|
|Package repository||View on CRAN|
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