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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>.
| Version: | 0.4.0.1 |
| Depends: | R (≥ 3.5.0) |
| Imports: | Rcpp (≥ 0.12.18), xts, zoo |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | testthat |
| Published: | 2020-07-13 |
| DOI: | 10.32614/CRAN.package.DriftBurstHypothesis |
| Author: | Emil Sjoerup |
| Maintainer: | Emil Sjoerup <emilsjoerup at live.dk> |
| BugReports: | https://github.com/emilsjoerup/DriftBurstHypothesis/issues |
| License: | GPL-3 |
| URL: | https://github.com/emilsjoerup/DriftBurstHypothesis |
| NeedsCompilation: | yes |
| Materials: | ChangeLog |
| In views: | Finance |
| CRAN checks: | DriftBurstHypothesis results |
| Reference manual: | DriftBurstHypothesis.pdf |
| Package source: | DriftBurstHypothesis_0.4.0.1.tar.gz |
| Windows binaries: | r-devel: DriftBurstHypothesis_0.4.0.1.zip, r-release: DriftBurstHypothesis_0.4.0.1.zip, r-oldrel: DriftBurstHypothesis_0.4.0.1.zip |
| macOS binaries: | r-release (arm64): DriftBurstHypothesis_0.4.0.1.tgz, r-oldrel (arm64): DriftBurstHypothesis_0.4.0.1.tgz, r-release (x86_64): DriftBurstHypothesis_0.4.0.1.tgz, r-oldrel (x86_64): DriftBurstHypothesis_0.4.0.1.tgz |
| Old sources: | DriftBurstHypothesis archive |
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