DriftBurstHypothesis-package {DriftBurstHypothesis}R Documentation

Calculates the Test-Statistic for the Drift Burst Hypothesis

Description

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>.

Details

The DESCRIPTION file:

Package: DriftBurstHypothesis
Type: Package
Title: Calculates the Test-Statistic for the Drift Burst Hypothesis
Version: 0.1.3
Date: 2019-06-06
Author: Emil Sjoerup
Maintainer: Emil Sjoerup <emilsjoerup@live.dk>
Description: 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>.
License: GPL-3
BugReports: https://github.com/emilsjoerup/DriftBurstHypothesis/issues
URL: https://github.com/emilsjoerup/DriftBurstHypothesis
Imports: Rcpp (>= 0.12.18), xts, zoo,
LinkingTo: Rcpp, RcppArmadillo
Suggests: testthat

Index of help topics:

DriftBurstHypothesis-package
                        Calculates the Test-Statistic for the Drift
                        Burst Hypothesis
drift_bursts            Drift Bursts

Author(s)

Emil Sjoerup

Maintainer: Emil Sjoerup <emilsjoerup@live.dk>

References

Christensen, Oomen and Reno (2018) <DOI:10.2139/ssrn.2842535>.


[Package DriftBurstHypothesis version 0.1.3 Index]