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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>.

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

Documentation:

Reference manual: DriftBurstHypothesis.pdf

Downloads:

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

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.