YalDan/hf.econometrics: High Frequency Econometrics
This package contains various implementations from the High Frequency Econometrics toolbox: Noise robust jump tests, preaveraging methodologies and preprocessing tools for high frequency tick datasets. The implementation is designed to be scalable with large datasets.
Getting started
Browse package contents
Package details |
|
|---|---|
| Author | Danial Saef |
| Maintainer | Danial Saef <danial.saef@hu-berlin.de> |
| License | MIT |
| Version | 0.1.0 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
|
