Package: highfrequency
Version: 0.5
Date: 2017-02-15
Title: Tools for Highfrequency Data Analysis
Author: Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut],
    Giang Nguyen [ctb], Maarten Schermer [ctb]
Maintainer: Kris Boudt
 <Kris.Boudt@econ.kuleuven.be>
Description: Provide functionality to manage, clean and match highfrequency
    trades and quotes data, calculate various liquidity measures, estimate and
    forecast volatility, and investigate microstructure noise and intraday
    periodicity.
License: GPL (>= 2)
Depends: R (>= 2.12.0), xts, zoo
Imports: graphics, methods, stats, utils, grDevices, numDeriv,
        sandwich, robustbase, cubature, mvtnorm, chron, timeDate,
        quantmod, MASS, FKF, BMS, rugarch
LazyLoad: yes
NeedsCompilation: yes
Packaged: 2017-02-15 17:44:48 UTC; scottpayseur
Repository: CRAN
Date/Publication: 2017-02-15 19:07:34
