Jonathan Cornelissen, Kris Boudt, Scott Payseur
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.
realized, robustbase, cubature, mvtnorm, chron, timeDate,
quantmod

timeDate, robustbase, cubature, mvtnorm, chron, quantmod

Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut],
Giang Nguyen [ctb], Maarten Schermer [ctb]
Provide functionality to manage, clean and match highfrequency
trades and quotes data, calculate various liquidity measures, estimate and
forecast volatility, and investigate microstructure noise and intraday
periodicity.
robustbase, cubature, mvtnorm, chron, timeDate, quantmod,
MASS, sandwich, numDeriv, FKF, BMS, rugarch

c(person("Kris", "Boudt", role = c("aut", "cre"),
email = "Kris.Boudt@econ.kuleuven.be"),
person("Jonathan", "Cornelissen", role = c("aut")),
person("Scott", "Payseur", role = c("aut"),
email = "Scott.Payseur@gmail.com"),
person("Giang", "Nguyen", role = c("ctb")),
person("Maarten", "Schermer", role = c("ctb")))
graphics, methods, stats, utils, grDevices, numDeriv,
sandwich, robustbase, cubature, mvtnorm, chron, timeDate, MASS,
FKF, BMS, rugarch

Kris Boudt [aut, cre],
Jonathan Cornelissen [aut],
Scott Payseur [aut],
Giang Nguyen [ctb],
Maarten Schermer [ctb]
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.
graphics, methods, stats, utils, grDevices, numDeriv,
sandwich, robustbase, cubature, mvtnorm, chron, timeDate, MASS,

graphics, methods, stats, utils, grDevices, numDeriv,
sandwich, robustbase, cubature, mvtnorm, chron, timeDate,
quantmod, MASS, FKF, BMS, rugarch