Emil sjørup's repositories
DriftBurstHypothesis
Calculates the Test-Statistic for the Drift Burst Hypothesis of Christensen, Oomen and Renò (2018) <DOI:10.2139/ssrn.2842535>.
highfrequency
The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.
dang
A collection of utility functions for R
Language:R000
mkl4deb
Adding the Intel MKL to a Debian / Ubuntu system via one simple script
Language:Shell000
xts
Extensible time series class that provides uniform handling of many R time series classes by extending zoo.
Language:RGPL-2.0000