jonathancornelissen/highfrequency

Issues

• documentation of rThresholdCov

  #102 opened 5 months ago by onnokleen
  0

• Errors with data.table for rMinRVar and rMPVar

  #100 opened a year ago by fcocquemas
  3

• exchangeHoursOnly doesn't work for xts

  #96 opened 2 years ago by jacekszandula
  2

• Error when DIRECTION is all 1s.

  #99 opened a year ago by imitationsasquatch
  2

• Performance issue with exchangeHoursOnly and alternative

  #94 opened a year ago by MislavSag
  3

• Function BNSjumpTest() can not work with IVestimator = "rThresholdCov"

  #97 opened a year ago by TigerZhao007
  1

• Help with docs and intraday jumps

  #98 opened a year ago by MislavSag
  1

• Error in min(selection):max(selection) while using the vol function

  #80 opened 3 years ago by MislavSag
  2

• quotesCleanUp to deal with quotes data from SIP source

  #90 opened a year ago by stucash
  5

• Is the parzen kernel implemented correctly

  #91 opened a year ago by travis-leith
  2

• Interpreting the result from `aggregateQuotes`

  #92 opened 2 years ago by stucash
  1

• How to choose a suitable realized volatility estimator

  #85 opened 3 years ago by fecet
  1

• Import `FKF::fkf` or use it conditionally in `stochPer()` and `loglikBM()`

  #88 opened 3 years ago by joshuaulrich
  4

• Missing noZeroPrices function

  #82 opened 3 years ago by Tigrosso
  5

• aggregatets() - tby not defined for weeks/days

  #7 opened 3 years ago by kristang
  0

• AJjumpTest and BNSjumpTest market open and close time

  #69 opened 3 years ago by waynelapierre
  7

• missing convert function

  #70 opened 3 years ago by patricklucescu
  2

• 24/7 trading period

  #64 opened 3 years ago by waynelapierre
  4

• initial value in 'vmmin' is not finite

  #57 opened 3 years ago by MislavSag
  3

• idiosyncratic jump

  #52 opened 3 years ago by waynelapierre
  3

• aggregateTS changes input object

  #76 opened 3 years ago by MislavSag
  1

• Lee-Mykland jump test

  #68 opened 3 years ago by waynelapierre
  16

• Volume bars using businessTimeAggregation function

  #75 opened 3 years ago by MislavSag
  3

• Confusion in rCholCov about (log)prices

  #77 opened 3 years ago by kboudt
  1

• Is this tutorial up to date?

  #55 opened 3 years ago by waynelapierre
  3

• Improve context in tests

  #54 opened 4 years ago by emilsjoerup
  1

• Installation Error

  #71 opened 4 years ago by englianhu
  4

• rKernelCov generating negative result for 15 minutes intraday open-close log return (demeaned)

  #67 opened 4 years ago by stucash
  6

• Tick data vendor

  #46 opened 4 years ago by MislavSag
  1

• Performance question

  #56 opened 4 years ago by waynelapierre
  4

• cojump test

  #50 opened 4 years ago by waynelapierre
  7

• getTradeDirection()

  #8 opened 4 years ago by mindymallory
  0

• Functionality to deal with Euronext intraday data

  #34 opened 4 years ago by kboudt
  1

• Missing functionality for realized regressions. Missing cholcov implementation.

  #35 opened 4 years ago by kboudt
  0

• POSIXct is very slow

  #65 opened 4 years ago by waynelapierre
  3

• Add Newey-West standard errors to harModel class?

  #41 opened 4 years ago by onnokleen
  1

• Consistent function names

  #42 opened 4 years ago by kboudt
  1

• Lead/lag relationships implementation for GSoC

  #33 opened 4 years ago by emilsjoerup
  1

• Unexpected behaviour in function aggregatets()?

  #37 opened 4 years ago by emilsjoerup
  0

• Another issue in aggregatets

  #38 opened 5 years ago by emilsjoerup
  1

• Fix harModel documentation

  #26 opened 5 years ago by onnokleen
  2

• Request: Predict function for HAR / Heavy Model

  #5 opened 5 years ago by JamesRTOK
  1

• BNSjumptest error?

  #31 opened 5 years ago by c00kiemonster
  2

• Jumptest formula

  #17 opened 6 years ago by onnokleen
  1

• The manual AJjumptest example gives an error

  #4 opened 6 years ago by annoporci
  3

• Is ‘highfrequency’ available for R version 3.5.1?

  #14 opened 6 years ago by chinghoo
  1

• Issues with FKF

  #11 opened 7 years ago by kboudt
  0

• Wrong scaling of 'TP' in BNSjumptest

  #6 opened 7 years ago by avlanden
  4

• medRQ - 52 instead of 53

  #10 opened 7 years ago by onnokleen
  2

• 1 oct 2013 At&t

  #9 opened 8 years ago by payseur
  1