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.
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Errors with data.table for rMinRVar and rMPVar #100
Thanks for your hard work on the package! I've been trying to evaluate it for integrated variance estimations. I ran into a couple of errors with a data.table input, with rMinRVar and rMPVar but not with the other estimators.
Hello,
Thanks for your hard work on the package! I've been trying to evaluate it for integrated variance estimations. I ran into a couple of errors with a data.table input, with rMinRVar and rMPVar but not with the other estimators.
Am I doing something wrong?
Converting to xts seems to solve the issue, but I'd rather not, if I can help it.
Thank you so much!
Best, François