GSoC/GCI Archive
Google Summer of Code 2012 R project for statistical computing

Extend RTAQ for additional high frequency time series analysis

by Jonathancornelissen for R project for statistical computing

The economic value of analyzing high-frequency financial data is now obvious, both in the academic and financial world. The goal of this project is to develop much needed extra functionality in this growing area. The project aims at (i) providing a convenient interface for high frequency data management, and (ii) making the latest developments in (co-)volatility (estimation and) forecasting based on high frequency financial data available to the community.