emilsjoerup/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>.
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Package details |
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| Author | Emil Sjoerup |
| Maintainer | Emil Sjoerup <emilsjoerup@live.dk> |
| License | GPL-3 |
| Version | 0.4.0.1 |
| URL | https://github.com/emilsjoerup/DriftBurstHypothesis |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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