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) . The authors' MATLAB code is available upon request, see: <>.


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install.packages("DriftBurstHypothesis") by Emil Sjoerup, 2 years ago

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Authors: Emil Sjoerup

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL-3 license

Imports Rcpp, xts, zoo

Suggests testthat

Linking to Rcpp, RcppArmadillo

See at CRAN