Man pages for muffin1974/lobster
This package helps to handle, read-in and analyze data from the lobster high-frequency data universe

applyNSapplyNS Counts number of trades during last k seconds
autocovarianceAutocovariane computes the Autocovariance matrices inputs are...
aux_hac_weightHAC Weight kernel
base_mapplybase_mapply Base mapply function Use this function to compute...
brk_estimateCompute Blocked-Realized Kernels
brk_smoothingSmoothing Smoothes (BRK) matrices as in Hautsch et al (2012)...
condConditioning number Returns the conditioning number of a...
driftburst_tstatDrift-Burst t-statistic Function computes drift-burst...
exponential.kernelExponential kernel
extract_lobsterExtract lobster files This function extracts 7z files...
IVhat_fIV estimate based on 20 minute RV estimates
lobsterLobster: Limit order book sample
parzen.kernelParzen Kernel Computes the Parzen-Kernel
readin_lobsterRead-in lobster files This function reads-in extracted...
realized_kernelRealized Kernel estimator (univariate)
remove_lobsterRemove lobster files This function removes extracted lobster...
riwishInverse wishart Samples from an inverse wishart distribution...
rwishWishart Samples from a Wishart distribution
two_scale_realized_volatilityTwo-scaled realized volatility estimator
muffin1974/lobster documentation built on April 4, 2018, 5:49 a.m.