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 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.