Package: highfrequency
Version: 0.9.2
Date: 2022-01-12
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.
License: GPL (>= 2)
Encoding: UTF-8
LazyData: true
URL: https://github.com/jonathancornelissen/highfrequency
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, BMS, rugarch, testthat, knitr, rmarkdown
RoxygenNote: 7.1.2
NeedsCompilation: yes
Packaged: 2022-01-12 22:22:42 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: 2022-01-13 11:02:44 UTC
Built: R 4.0.5; x86_64-w64-mingw32; 2022-04-21 08:39:03 UTC; windows
Archs: i386, x64
