xts, zoo, Rcpp, RcppArmadillo, graphics, methods, stats,
utils, grDevices, robustbase, cubature, mvtnorm, data.table (>=
1.12.0), RcppRoll, quantmod, sandwich, numDeriv, Rsolnp

xts, zoo, Rcpp, graphics, methods, stats, utils, grDevices,
robustbase, cubature, mvtnorm, data.table (>= 1.12.0),
RcppRoll, quantmod, sandwich, numDeriv, Rsolnp

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")
)
xts, zoo, Rcpp, graphics, methods, stats, utils, grDevices,
robustbase, data.table (>= 1.12.0), RcppRoll, quantmod,
sandwich, numDeriv, Rsolnp
mvtnorm, covr, FKF, BMS, rugarch, testthat, knitr, rmarkdown

mvtnorm, covr, FKF, rugarch, testthat, knitr, rmarkdown

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:10.2139/ssrn.3917548>).

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>.