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jonathancornelissen / highfrequency

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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rBACov #62

Closed emilsjoerup closed 3 years ago

emilsjoerup commented 3 years ago

Implementation of rBACov

emilsjoerup commented 3 years ago

Some other stuff is also included, but mostly rBACov and very minor changes.

kboudt commented 3 years ago

Thanks for the Valentine gift :)