Package: highfrequency
Version: 0.5.1
Date: 2017-05-12
Title: Tools for Highfrequency Data Analysis
Authors@R: 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")))
Author: Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut],
Giang Nguyen [ctb], Maarten Schermer [ctb]
Maintainer: Kris Boudt
<Kris.Boudt@econ.kuleuven.be>
Description: 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.
License: GPL (>= 2)
Depends: R (>= 2.12.0), xts, zoo
Imports: graphics, methods, stats, utils, grDevices, numDeriv,
sandwich, robustbase, cubature, mvtnorm, chron, timeDate, MASS,
FKF, BMS, rugarch
NeedsCompilation: yes
Packaged: 2017-05-12 14:59:45 UTC; scottpayseur
Repository: CRAN
Date/Publication: 2017-05-12 22:46:10 UTC

Package: highfrequency
Version: 0.5.2
Date: 2017-07-30
Title: Tools for Highfrequency Data Analysis
Authors@R: 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")))
Author: Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut],
Giang Nguyen [ctb], Maarten Schermer [ctb]
Maintainer: Kris Boudt
<Kris.Boudt@econ.kuleuven.be>
Description: 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.
License: GPL (>= 2)
Depends: R (>= 2.12.0), xts, zoo
Imports: graphics, methods, stats, utils, grDevices, numDeriv,
sandwich, robustbase, cubature, mvtnorm, chron, timeDate, MASS,
FKF, BMS, rugarch
NeedsCompilation: yes
Packaged: 2017-07-30 18:25:13 UTC; scottpayseur
Repository: CRAN
Date/Publication: 2017-07-30 22:52:35 UTC