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: < https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2842535>.


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Reference manual

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install.packages("DriftBurstHypothesis")

0.1.1 by Emil Sjoerup, 23 days ago


https://github.com/emilsjoerup/DriftBurstHypothesis


Report a bug at https://github.com/emilsjoerup/DriftBurstHypothesis/issues


Browse source code at https://github.com/cran/DriftBurstHypothesis


Authors: Emil Sjoerup


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL-3 license


Imports Rcpp

Linking to Rcpp, RcppArmadillo


See at CRAN