DriftBurstHypothesis: 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) <doi:10.2139/ssrn.2842535>. The authors' MATLAB code is available upon request, see: <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2842535>.

Version: 0.1
Imports: Rcpp (≥ 0.12.18)
LinkingTo: Rcpp, RcppArmadillo
Published: 2019-01-02
Author: Emil Sjoerup
Maintainer: Emil Sjoerup <emilsjoerup at live.dk>
BugReports: https://github.com/emilsjoerup/DriftBurstHypothesis/issues
License: GPL-3
URL: https://github.com/emilsjoerup/DriftBurstHypothesis
NeedsCompilation: yes
In views: Finance
CRAN checks: DriftBurstHypothesis results


Reference manual: DriftBurstHypothesis.pdf
Package source: DriftBurstHypothesis_0.1.tar.gz
Windows binaries: r-devel: DriftBurstHypothesis_0.1.zip, r-release: DriftBurstHypothesis_0.1.zip, r-oldrel: DriftBurstHypothesis_0.1.zip
OS X binaries: r-release: DriftBurstHypothesis_0.1.tgz, r-oldrel: not available


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