- highfrequency: Tools for Highfrequency Data Analysis
- rKernel.available: Available Kernels
Returns a vector of the available kernels.
Scott Payseur <email@example.com>
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, and Neil Shephard. Regular and modified kernel-based estimators of integrated variance: The case with independent noise. Working Paper, 2004.
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- aggregatePrice: Aggregate a time series but keep first and last observation
- aggregateQuotes: Aggregate an xts object containing quote data
- aggregateTrades: Aggregate an xts object containing trade data
- aggregatets: Aggregate a time series
- AJjumptest: Ait- Sahalia and Jacod (2009) tests for the presence of jumps...
- autoSelectExchangeQuotes: Retain only data from the stock exchange with the highest...
- autoSelectExchangeTrades: Retain only data from the stock exchange with the highest...
- BNSjumptest: Barndorff- Nielsen and Shephard (2006) tests for the presence...
- convert: Convert trade or quote data into xts object saved in the...
- ExchangeHoursOnly: Extract data from an xts object for the Exchange Hours Only
- getPrice: get price column(s) from a timeseries
- getTradeDirection: Get trade direction
- harModel: HAR model estimation (Heterogeneous Autoregressive model for...
- has.Qty: check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and...
- heavyModel: HEAVY Model estimation
- heavyModelC: HEAVY Model estimation using C code
- highfrequency-package: Tools For Highfrequency Data Analysis
- ivInference: Function returns the value, the standard error and the...
- JOjumptest: Jiang and Oomen (2008) tests for the presence of jumps in the...
- lltc.xts: LLTC Data
- makePsd: Returns the positive semidinite projection of a symmetric...
- makeReturns: Compute log returns
- matchTradesQuotes: Match trade and quote data
- medRQ: An estimator of integrated quarticity from applying the...
- medRV: medRV
- mergequotessametimestamp: Merge multiple quote entries with the same time stamp
- mergeTradesSameTimestamp: Merge multiple transactions with the same time stamp
- minRQ: An estimator of integrated quarticity from applying the...
- minRV: minRV
- MRC: Modulated Realized Covariance (MRC): Return univariate or...
- nozeroprices: Delete the observations where the price is zero
- nozeroquotes: Delete the observations where the bid or ask is zero
- previoustick: previoustick (internal function)
- quotescleanup: Cleans quote data
- rAccumulation: Realized Accumulation Plot
- rAVGCov: Realized Covariance: Average Subsample
- rBeta: Realized beta: a tool in measuring risk with respect to the...
- rBPCov: Realized BiPower Covariance
- rCov: Realized Covariance
- rCumSum: Plot cummulative returns
- realized_library: The realized library from the Oxford-Man Institute of...
- refreshTime: Synchronize (multiple) irregular timeseries by refresh time
- rHYCov: Hayashi-Yoshida Covariance
- rKernel.available: Available Kernels
- rKernelCov: Realized Covariance: Kernel
- RKurt: Realized kurtosis of highfrequency return series.
- rMarginal: Maginal Contribution to Realized Estimate
- rmlargespread: Delete entries for which the spread is more than "maxi" times...
- rmNegativeSpread: Delete entries for which the spread is negative
- rmoutliers: Delete entries for which the mid-quote is outlying with...
- rMPV: Realized multipower variation (MPV), an estimator of...
- rmtradeoutliers: Delete transactions with unlikely transaction prices
- rOWCov: Realized Outlyingness Weighted Covariance
- rQPQuar: Realized quad-power quarticity of highfrequency return...
- RQPVar: Realized quad-power variation of highfrequency return series.
- RQuar: Realized quarticity of highfrequency return series.
- rScatterReturns: Scatterplot of aligned returns
- RSkew: Realized skewness of highfrequency return series.
- RsV: Realized semivariance of highfrequency return series.
- rThresholdCov: Threshold Covariance
- rTPQuar: Realized tri-power quarticity of highfrequency return series.
- RTPVar: Realized tri-power variation of highfrequency return series.
- rZero: Calculates the percentage of co-zero returns at a specified...
- salesCondition: Delete entries with abnormal Sale Condition.
- sample_5minprices: Ten artificial time series for the NYSE trading days during...
- sample_5minprices_jumps: Ten artificial time series (including jumps) for the NYSE...
- sample_qdata: Sample of cleaned quotes for stock XXX for 1 day
- sample_qdataraw: Sample of raw quotes for stock XXX for 1 day
- sample_real5minprices: Sample of imaginary price data for 61 days
- sample_returns_5min: Sample returns data
- sample_tdata: Sample of cleaned trades for stock XXX for 1 day
- sample_tdataraw: Sample of raw trades for stock XXX for 1 day
- sbux.xts: Starbucks Data
- selectexchange: Retain only data from a single stock exchange
- spotvol: Spot volatility estimation
- TAQload: Load trade or quote data into R
- tqLiquidity: Calculate numerous (23) liquidity measures
- tradescleanup: Cleans trade data
- tradesCleanupFinal: Perform a final cleaning procedure on trade data