Man pages for muffin1974/lobster
This package helps to handle, read-in and analyze data from the lobster high-frequency data universe
| applyNS | applyNS Counts number of trades during last k seconds |
| autocovariance | Autocovariane computes the Autocovariance matrices inputs are... |
| aux_hac_weight | HAC Weight kernel |
| base_mapply | base_mapply Base mapply function Use this function to compute... |
| brk_estimate | Compute Blocked-Realized Kernels |
| brk_smoothing | Smoothing Smoothes (BRK) matrices as in Hautsch et al (2012)... |
| cond | Conditioning number Returns the conditioning number of a... |
| driftburst_tstat | Drift-Burst t-statistic Function computes drift-burst... |
| exponential.kernel | Exponential kernel |
| extract_lobster | Extract lobster files This function extracts 7z files... |
| IVhat_f | IV estimate based on 20 minute RV estimates |
| lobster | Lobster: Limit order book sample |
| parzen.kernel | Parzen Kernel Computes the Parzen-Kernel |
| readin_lobster | Read-in lobster files This function reads-in extracted... |
| realized_kernel | Realized Kernel estimator (univariate) |
| remove_lobster | Remove lobster files This function removes extracted lobster... |
| riwish | Inverse wishart Samples from an inverse wishart distribution... |
| rwish | Wishart Samples from a Wishart distribution |
| two_scale_realized_volatility | Two-scaled realized volatility estimator |
