DriftBurstHypothesis

Calculates the Test-Statistic for the Drift Burst Hypothesis

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: <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2842535>.

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Description file content

Package
DriftBurstHypothesis
Type
Package
Title
Calculates the Test-Statistic for the Drift Burst Hypothesis
Version
0.1.2
Date
2019-04-13
Author
Emil Sjoerup
Maintainer
Emil Sjoerup
Description
Calculates the T-Statistic for the drift burst hypothesis from the working paper Christensen, Oomen and Reno (2018) . The authors' MATLAB code is available upon request, see: .
License
GPL-3
BugReports
https://github.com/emilsjoerup/DriftBurstHypothesis/issues
URL
Imports
Rcpp (>= 0.12.18), xts, zoo,
LinkingTo
Rcpp, RcppArmadillo
NeedsCompilation
yes
Packaged
2019-04-13 18:22:14 UTC; emils
Repository
CRAN
Date/Publication
2019-04-14 11:22:42 UTC

install.packages('DriftBurstHypothesis')

0.1.2

10 days ago

https://github.com/emilsjoerup/DriftBurstHypothesis

Emil Sjoerup

GPL-3

Imports

Rcpp (>= 0.12.18), xts, zoo,

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