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.
BAC changes
Fix for the HAR model
Faster data cleaning functions.
r*Var names for estimators of the integrated variance,
add IVar and ICov objects serve as documentation for estimators of integrated variance and covariance, respectively.
BAC changes Fix for the HAR model Faster data cleaning functions. r*Var names for estimators of the integrated variance, add IVar and ICov objects serve as documentation for estimators of integrated variance and covariance, respectively.
Several small changes.