R/highfrequency.R

In jonathancornelissen/highfrequency: Tools for Highfrequency Data Analysis

#' @description The \pkg{highfrequency} package provides numerous tools for analyzing high-frequency financial data, including functionality to:
#' \itemize{
#' \item Clean, handle, and manage high frequency trades and quotes data.
#' \item Calculate liquidity measures
#' \item Calculate (multivariate) realized measures of the distribution of high-frequency returns
#' \item Estimate models for realized measures of volatility and the corresponding forecasts
#' \item Detect jumps in prices
#' \item Analyze market microstructure noise in asset prices
#' \item Estimate spot volatility and drift as well as analyze intraday periodicity of spot volatility
#' }
#' 
#' @author Kris Boudt, Jonathan Cornelissen, Onno Kleen, Scott Payseur, Emil Sjoerup
#' Maintainer: Kris Boudt <Kris.Boudt@ugent.be>
#' 
#' Contributors: Giang Nguyen
#' 
#' Thanks: We would like to thank Brian Peterson, Chris Blakely, Dirk Eddelbuettel, Maarten Schermer, and Eric Zivot
#'
#' @useDynLib highfrequency, .registration = TRUE
"_PACKAGE"