Package: highfrequency
Version: 0.7.0
Date: 2020-09-11
Title: Tools for Highfrequency Data Analysis
Authors@R: 
    c(person(given = "Kris",
             family = "Boudt",
             role = c("aut", "cre"),
             email = "kris.boudt@ugent.be",
             comment = c(ORCID = "0000-0002-1000-5142")),
      person(given = "Jonathan",
             family = "Cornelissen",
             role = "aut"),
      person(given = "Scott",
             family = "Payseur",
             role = "aut",
             email = "Scott.Payseur@gmail.com"),
      person(given = "Giang",
             family = "Nguyen",
             role = "ctb"),
      person(given = "Onno",
             family = "Kleen",
             role = "aut",
             comment = c(ORCID = "0000-0003-4731-4640")),
      person(given = "Emil",
             family = "Sjoerup",
             role = "aut"))
Maintainer: Kris Boudt
 <kris.boudt@ugent.be>
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, RcppArmadillo, graphics, methods, stats,
        utils, grDevices, robustbase, cubature, mvtnorm, data.table (>=
        1.12.0), RcppRoll, quantmod, sandwich
LinkingTo: Rcpp, RcppArmadillo
Suggests: covr, FKF, BMS, rugarch, testthat, knitr, rmarkdown
RoxygenNote: 7.1.1
VignetteBuilder: knitr
NeedsCompilation: yes
Packaged: 2020-09-15 09:14:51 UTC; emil
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]
Repository: CRAN
Date/Publication: 2020-09-15 22:20:19 UTC
