Package: highfrequency
Version: 1.0.0
Date: 2022-10-26
Title: Tools for Highfrequency Data Analysis
Authors@R: c(
    person("Kris", "Boudt", , "kris.boudt@ugent.be", role = c("aut", "cre"),
           comment = c(ORCID = "0000-0002-1000-5142")),
    person("Jonathan", "Cornelissen", role = "aut"),
    person("Scott", "Payseur", , "Scott.Payseur@gmail.com", role = "aut"),
    person("Giang", "Nguyen", role = "ctb"),
    person("Onno", "Kleen", role = "aut",
           comment = c(ORCID = "0000-0003-4731-4640")),
    person("Emil", "Sjoerup", role = "aut")
  )
Description: Provide functionality to manage, clean and match highfrequency
    trades and quotes data, calculate various liquidity measures, estimate and
    forecast volatility, detect price jumps and investigate microstructure noise and intraday
    periodicity. A detailed vignette can be found in the paper 
    "Analyzing Intraday Financial Data in R: The highfrequency Package" 
    by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>). 
    The DOI in the CITATION is for a new Journal of Statistical Software publication that will be registered after publication on CRAN.
    A working paper version can be found on SSRN: <doi:10.2139/ssrn.3917548>.
License: GPL (>= 2)
Encoding: UTF-8
LazyData: true
URL: https://github.com/jonathancornelissen/highfrequency
BugReports: https://github.com/jonathancornelissen/highfrequency/issues
Depends: R (>= 3.5.0)
Imports: xts, zoo, Rcpp, graphics, methods, stats, utils, grDevices,
        robustbase, data.table (>= 1.12.0), RcppRoll, quantmod,
        sandwich, numDeriv, Rsolnp
LinkingTo: Rcpp, RcppArmadillo
Suggests: mvtnorm, covr, FKF, rugarch, testthat, knitr, rmarkdown
RoxygenNote: 7.2.1
NeedsCompilation: yes
Packaged: 2022-10-26 09:40:08 UTC; onnokleen
Author: Kris Boudt [aut, cre] (<https://orcid.org/0000-0002-1000-5142>),
  Jonathan Cornelissen [aut],
  Scott Payseur [aut],
  Giang Nguyen [ctb],
  Onno Kleen [aut] (<https://orcid.org/0000-0003-4731-4640>),
  Emil Sjoerup [aut]
Maintainer: Kris Boudt <kris.boudt@ugent.be>
Repository: CRAN
Date/Publication: 2022-10-26 11:15:13 UTC
