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>.

News

Reference manual

install.packages("DriftBurstHypothesis")

0.4.0.1 by Emil Sjoerup, 6 months 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

R links

R homepage

Download R

Mailing lists

R documentation

R manuals

R FAQs

The R Journal

CRAN links

CRAN homepage

CRAN repository policy

Submit a package

METACRAN stuff

About METACRAN

At github

Report a bug