rMRC

DEPRECATED USE <code>rMRCov</code>

Provide functionality to manage, clean and match highfrequency
trades and quotes data, calculate various liquidity measures, estimate and
forecast volatility, detect price jumps and investigate microstructure noise and intraday
periodicity. A detailed vignette can be found in the open-access paper
"Analyzing Intraday Financial Data in R: The highfrequency Package"
by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>).

Kris Boudt

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

Emil Sjoerup

rMRC function

<dl><dt>pData</dt>
<dd>DEPRECATED USE <code>rMRCov</code></dd>
<dt>pairwise</dt>
<dd>DEPRECATED USE <code>rMRCov</code></dd>
<dt>makePsd</dt>
<dd>DEPRECATED USE <code>rMRCov</code></dd>
<dt>theta</dt>
<dd>DEPRECATED USE <code>rMRCov</code></dd>
<dt>...</dt>
<dd>DEPRECATED USE <code>rMRCov</code></dd></dl>

Arguments

DEPRECATED rMRC — rMRC

<dl>

<dt>pData</dt>
<dd>DEPRECATED USE <code>rMRCov</code></dd>


<dt>pairwise</dt>
<dd>DEPRECATED USE <code>rMRCov</code></dd>


<dt>makePsd</dt>
<dd>DEPRECATED USE <code>rMRCov</code></dd>


<dt>theta</dt>
<dd>DEPRECATED USE <code>rMRCov</code></dd>


<dt>...</dt>
<dd>DEPRECATED USE <code>rMRCov</code></dd>

</dl>

Last chance! 50% off unlimited learning

rMRC: DEPRECATED rMRC

Description

Usage

Arguments