Analyzing Intraday Financial Data in R: The highfrequency Package
The highfrequency package for the R programming language provides functionality for pre-processing financial high-frequency data, analyzing intraday stock returns, and forecasting stock market volatility. For academics and practitioners alike, it provides a tool chain required to work with such dat...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2022-10-01
|
| Series: | Journal of Statistical Software |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/4586 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1846101725437493248 |
|---|---|
| author | Kris Boudt Onno Kleen Emil Sjørup |
| author_facet | Kris Boudt Onno Kleen Emil Sjørup |
| author_sort | Kris Boudt |
| collection | DOAJ |
| description |
The highfrequency package for the R programming language provides functionality for pre-processing financial high-frequency data, analyzing intraday stock returns, and forecasting stock market volatility. For academics and practitioners alike, it provides a tool chain required to work with such datasets and to conduct statistical analyses dedicated to spot volatility, jumps, realized measures, and many more. We showcase our implemented routines and models on raw high-frequency data from large stock exchanges.
|
| format | Article |
| id | doaj-art-c68388a6de4743fe9a8b0c06e7e6f2b6 |
| institution | Kabale University |
| issn | 1548-7660 |
| language | English |
| publishDate | 2022-10-01 |
| publisher | Foundation for Open Access Statistics |
| record_format | Article |
| series | Journal of Statistical Software |
| spelling | doaj-art-c68388a6de4743fe9a8b0c06e7e6f2b62024-12-29T00:12:55ZengFoundation for Open Access StatisticsJournal of Statistical Software1548-76602022-10-01104110.18637/jss.v104.i088223Analyzing Intraday Financial Data in R: The highfrequency PackageKris Boudt0Onno Kleen1Emil SjørupGhent University, Vrije Universiteit Brussel, Vrije Universiteit AmsterdamErasmus University Rotterdam The highfrequency package for the R programming language provides functionality for pre-processing financial high-frequency data, analyzing intraday stock returns, and forecasting stock market volatility. For academics and practitioners alike, it provides a tool chain required to work with such datasets and to conduct statistical analyses dedicated to spot volatility, jumps, realized measures, and many more. We showcase our implemented routines and models on raw high-frequency data from large stock exchanges. https://www.jstatsoft.org/index.php/jss/article/view/4586 |
| spellingShingle | Kris Boudt Onno Kleen Emil Sjørup Analyzing Intraday Financial Data in R: The highfrequency Package Journal of Statistical Software |
| title | Analyzing Intraday Financial Data in R: The highfrequency Package |
| title_full | Analyzing Intraday Financial Data in R: The highfrequency Package |
| title_fullStr | Analyzing Intraday Financial Data in R: The highfrequency Package |
| title_full_unstemmed | Analyzing Intraday Financial Data in R: The highfrequency Package |
| title_short | Analyzing Intraday Financial Data in R: The highfrequency Package |
| title_sort | analyzing intraday financial data in r the highfrequency package |
| url | https://www.jstatsoft.org/index.php/jss/article/view/4586 |
| work_keys_str_mv | AT krisboudt analyzingintradayfinancialdatainrthehighfrequencypackage AT onnokleen analyzingintradayfinancialdatainrthehighfrequencypackage AT emilsjørup analyzingintradayfinancialdatainrthehighfrequencypackage |