CRAN/E | DriftBurstHypothesis

DriftBurstHypothesis

Calculates the Test-Statistic for the Drift Burst Hypothesis

Installation

About

Calculates the T-Statistic for the drift burst hypothesis from the working paper Christensen, Oomen and Reno (2018) doi:10.2139/ssrn.2842535. The authors' MATLAB code is available upon request, see: .

github.com/emilsjoerup/DriftBurstHypothesis
Bug report File report

Key Metrics

Version 0.4.0.1
R ≥ 3.5.0
Published 2020-07-13 1374 days ago
Needs compilation? yes
License GPL-3
CRAN checks DriftBurstHypothesis results

Downloads

Yesterday 5
Last 7 days 39 -51%
Last 30 days 256 -36%
Last 90 days 1.154 +44%
Last 365 days 3.779 -9%

Maintainer

Maintainer

Emil Sjoerup

emilsjoerup@live.dk

Authors

Emil Sjoerup

Material

ChangeLog
Reference manual
Package source

In Views

Finance

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

DriftBurstHypothesis archive

Depends

R ≥ 3.5.0

Imports

Rcpp ≥ 0.12.18
xts
zoo

Suggests

testthat

LinkingTo

Rcpp
RcppArmadillo