Analyzing intraday financial data in R: The highfrequency package
37 Pages Posted: 7 Sep 2021
Date Written: September 4, 2021
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 US-American stock exchanges.
Keywords: financial markets, high-frequency data, realized measures, jumps, R
JEL Classification: C53, C58, G12
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