Files in jonathancornelissen/highfrequency
Tools for Highfrequency Data Analysis
.Rbuildignore
.gitignore
.travis.yml
CRAN-SUBMISSION
DESCRIPTION
NAMESPACE
NEWS.md
R/HARmodel.R
R/HEAVYmodel.R
R/RcppExports.R
R/data.R
R/dataHandling.R
R/driftBursts.R
R/getDataFromAlphaVantage.R
R/highfrequency.R
R/internal.R
R/internalDataHandling.R
R/internalHEAVY.R
R/internalJumpTests.R
R/internalPreaveringEstimators.R
R/internalRealizedMeasures.R
R/internalSpotVolAndDrift.R
R/jumpTests.R
R/leadLag.R
R/liquidityMeasures.R
R/plotTQData.R
R/rcpp_dynlib_call.R
R/realizedMeasures.R
R/realizedMeasuresInference.R
R/spotVolAndDrift.R
R/sysdata.rda
cran-comments.md
data-raw/OxfordManRealizedVolatilityIndices.zip
data-raw/oxfordmanrealizedvolatilityindices.csv
data-raw/realized_library_data.R
data-raw/sampleQData.rda
data-raw/sampleQDataRaw.rda
data-raw/sampleTData.rda
data-raw/sampleTDataRaw.rda
data/SPYRM.rda
data/sampleMultiTradeData.rda
data/sampleOneMinuteData.rda
data/sampleQData.rda
data/sampleQDataRaw.rda
data/sampleTData.rda
data/sampleTDataEurope.rda
data/sampleTDataRaw.rda
examples/README.txt
examples/run_vignette.R
inst/CITATION
man/AJjumpTest.Rd
man/BNSjumpTest.Rd
man/Bj.Rd
man/HARmodel.Rd
man/HEAVYmodel.Rd
man/ICov.Rd
man/IVar.Rd
man/IVinference.Rd
man/JOjumpTest.Rd
man/MDtest.Rd
man/RBPCov_bi.Rd
man/RV.Rd
man/ReMeDI.Rd
man/ReMeDIAsymptoticVariance.Rd
man/SPYRM.Rd
man/aggregatePrice.Rd
man/aggregateQuotes.Rd
man/aggregateTS.Rd
man/aggregateTrades.Rd
man/autoSelectExchangeQuotes.Rd
man/autoSelectExchangeTrades.Rd
man/businessTimeAggregation.Rd
man/cholCovrMRCov.Rd
man/driftBursts.Rd
man/exchangeHoursOnly.Rd
man/gatherPrices.Rd
man/getAlphaVantageData.Rd
man/getCriticalValues.Rd
man/getLiquidityMeasures.Rd
man/getTradeDirection.Rd
man/highfrequency-package.Rd
man/intradayJumpTest.Rd
man/knChooseReMeDI.Rd
man/leadLag.Rd
man/listAvailableKernels.Rd
man/listCholCovEstimators.Rd
man/makeOHLCV.Rd
man/makePsd.Rd
man/makeRMFormat.Rd
man/makeReturns.Rd
man/matchTradesQuotes.Rd
man/mergeQuotesSameTimestamp.Rd
man/mergeTradesSameTimestamp.Rd
man/mukp.Rd
man/noZeroPrices.Rd
man/noZeroQuotes.Rd
man/plot.DBH.Rd
man/plot.HARmodel.Rd
man/plot.HEAVYmodel.Rd
man/plotTQData.Rd
man/predict.HARmodel.Rd
man/predict.HEAVYmodel.Rd
man/print.DBH.Rd
man/print.HARmodel.Rd
man/quotesCleanup.Rd
man/rAVGCov.Rd
man/rBACov.Rd
man/rBPCov.Rd
man/rBeta.Rd
man/rCholCov.Rd
man/rCov.Rd
man/rHYCov.Rd
man/rKernelCov.Rd
man/rKurt.Rd
man/rMPV.Rd
man/rMPVar.Rd
man/rMRC.Rd
man/rMRCov.Rd
man/rMedRQ.Rd
man/rMedRQuar.Rd
man/rMedRV.Rd
man/rMedRVar.Rd
man/rMinRQ.Rd
man/rMinRQuar.Rd
man/rMinRV.Rd
man/rMinRVar.Rd
man/rOWCov.Rd
man/rQPVar.Rd
man/rQuar.Rd
man/rRTSCov.Rd
man/rRVar.Rd
man/rSV.Rd
man/rSVar.Rd
man/rSemiCov.Rd
man/rSkew.Rd
man/rTPQuar.Rd
man/rTSCov.Rd
man/rThresholdCov.Rd
man/rankJumpTest.Rd
man/refreshTime.Rd
man/rmLargeSpread.Rd
man/rmNegativeSpread.Rd
man/rmOutliersQuotes.Rd
man/rmTradeOutliersUsingQuotes.Rd
man/salesCondition.Rd
man/sampleMultiTradeData.Rd
man/sampleOneMinuteData.Rd
man/sampleQData.Rd
man/sampleQDataRaw.Rd
man/sampleTData.Rd
man/sampleTDataEurope.Rd
man/sampleTDataRaw.Rd
man/selectExchange.Rd
man/spotDrift.Rd
man/spotVol.Rd
man/spreadPrices.Rd
man/summary.HARmodel.Rd
man/tradesCleanup.Rd
man/tradesCleanupUsingQuotes.Rd
man/tradesCondition.Rd
readme.md
src/.gitignore
src/HARmodel.cpp
src/HEAVYmodel.cpp
src/Makevars
src/Makevars.win
src/RcppExports.cpp
src/businessTimeSampling.cpp
src/driftBursts.cpp
src/internals.cpp
src/internals.h
src/leadLag.cpp
src/realizedMeasures.cpp
tests/testthat.R
tests/testthat/test_internals_utilities.R
tests/testthat/tests_data_handling.R
tests/testthat/tests_driftBursts.R
tests/testthat/tests_jump_tests.R
tests/testthat/tests_leadLag.R
tests/testthat/tests_liquidity_measures.R
tests/testthat/tests_models.R
tests/testthat/tests_realized_measures.R
tests/testthat/tests_spotvol_and_drift.R
