DriftBurstHypothesis-package {DriftBurstHypothesis}

Calculates the Test-Statistic for the Drift Burst Hypothesis

Description

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>.

Details

The DESCRIPTION file:

Package:	DriftBurstHypothesis
Type:	Package
Title:	Calculates the Test-Statistic for the Drift Burst Hypothesis
Version:	0.4.0.1
Date:	2020-07-13
Author:	Emil Sjoerup
Maintainer:	Emil Sjoerup <[e-mail]>
Description:	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>.
License:	GPL-3
BugReports:	https://github.com/emilsjoerup/DriftBurstHypothesis/issues
URL:	https://github.com/emilsjoerup/DriftBurstHypothesis
NeedsCompilation:	Yes
Depends:	R (>= 3.5.0)
Imports:	Rcpp (>= 0.12.18), xts, zoo,
LinkingTo:	Rcpp, RcppArmadillo
Suggests:	testthat

Index of help topics:

DriftBurstHypothesis-package
                        Calculates the Test-Statistic for the Drift
                        Burst Hypothesis
driftBursts             Drift Bursts
print.DBH               Methods for the DBH class

Author(s)

Emil Sjoerup

Maintainer: Emil Sjoerup <[e-mail]>

References

Christensen, Oomen and Reno (2018) <DOI:10.2139/ssrn.2842535>.