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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install.packages("DriftBurstHypothesis")

0.4.0 by Emil Sjoerup, 13 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, xts, zoo

Suggests testthat

Linking to Rcpp, RcppArmadillo

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