Analyzing Intraday Financial Data in R: The highfrequency Package
Dublin Core
Title
Analyzing Intraday Financial Data in R: The highfrequency Package
Subject
financial markets, high-frequency data, jumps, realized measures, R
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.
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.
Creator
Kris Boudt
Source
https://www.jstatsoft.org/article/view/v104i08
Publisher
Ghent University
Vrije Universiteit Brussel
Vrije Universiteit Amsterdam
Vrije Universiteit Brussel
Vrije Universiteit Amsterdam
Date
October 2022
Contributor
Fajar bagus W
Format
PDF
Language
English
Type
Text
Files
Collection
Citation
Kris Boudt, “Analyzing Intraday Financial Data in R: The highfrequency Package,” Repository Horizon University Indonesia, accessed April 4, 2025, https://repository.horizon.ac.id/items/show/8278.