aggregateTS now accept both data.table and xts objects
Various bugfixes and performance improvements
Added lowercase "r" in front of realized measures that did not have it, so it can easily be found in IDEs with highfrequency::
Added drift burst code
Added Backwards - Forwards matching algorithm to cleaning step. Thanks to Kim Christensen for providing his Matlab code.
removed various datasets, outdated TAQ format, simulated 5-minute prices, returns, and prices with jumps
Added European sample data, anonymized one-minute data with anonymous stock and market data, as well as home-grown dataset with realized measures
The arguments "on" and "k" in data handling is now "alignBy" and "alignPeriod" respectively. This means that the realized measures and data handling functions have similar notation
Improved UX in data cleaning functions by having more clear report on the trades when prompted and adding defaults that follow the standard in the literature
Added data.table support to (most) realized measures
Added functions makeRMFormat and makeOHLCV to convert data from a long format to a format that can be used for realized measures, and to make arbitrary period bars.
HARmodel has less 'RV' in the types - much easier to type and read, also it now supports an external regressor and has robust standard errors reported in the summary.
add asymptotic variance estimator for ReMeDI estimation - thanks to Merrick Li for contributing his Matlab code
In general, improved documentation. Also, better documentation of methods which were, in most cases undocumented and not clearly exported
New naming convention
Bugfix in BNSjumpTest, JOjumpTest, AJjumpTest. These functions behaved in an unexpected and inconsistent manner when the input spanned more than one day
Bugfix in aggregateTS function which in edge cases returned data from AFTER the input data
Implement intradayJumpTest function which allows for flexible Lee-Mykland style jump tests
Implement rankJumpTest to test for the rank of the jump matrix
Implement new features in spotVol. Now the local volatility can be estimated with realized measures, they can also be used with pre-averaged realized measures.
Implement a wrapper around quantmod's getSymbols.av function
harModel now includes Newey-West standard errors in the output
Bugfix for refreshTime function and large performance improvement
Implement CholCov estimator in rCholCov
Bugfixes in data handling functions, which sometimes produced different results depending on the options(digits.secs) setting. Most data handling functions now run considerably faster as a consequence of internally using numerics for timestamps.
Implemented new realized semi-covariance estimator in rSemiCov
Implemented new lead-lag estimation in leadLag
Implemented ReMeDI estimation in ReMeDI
More transparently handle the lagging of quotes when matching these with trades, now the user has control of this.
Add business time sampling
Changes to the included datasets. The microseconds quote datasets have been thinned out aggressively for exchanges != "N"
bug fix for kernelCov if cor = TRUE
compatibility with lubridate 1.7.8
bug fix in refreshTime (affected rMRC for n > 2)
one additional test for rMRC
updated realized library file until end of 2019
aggregateTrades size aggregation bug fix
spotVol and spotDrift do not assume naming convention for univariate time series anymore
bug fix tpv and finite sample corrections
bug fix for Fedora compilation
all new backend
documentation via roxygen2
testing via test_that
covr integration on github
microsecond compatibility for WRDS files
new options in harModel
updated data sets
cleanup of code basis
converted so that it would work with Cran
added missing data files
compressed data files
update package code github to version on rforge
to do: print more output in tradesCleanup about the different filters