DriftBurstHypothesis-package {DriftBurstHypothesis} | R Documentation |
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>.
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
Emil Sjoerup
Maintainer: Emil Sjoerup <emilsjoerup@live.dk>
Christensen, Oomen and Reno (2018) <DOI:10.2139/ssrn.2842535>.