[Highfrequency-commits] r71 - in pkg/highfrequency: . man-roxygen

[noreply at r-forge.r-project.org]

Author: kboudt
Date: 2014-08-27 16:30:27 +0200 (Wed, 27 Aug 2014)
New Revision: 71

Added:
   pkg/highfrequency/man-roxygen/
   pkg/highfrequency/man-roxygen/references.R
Log:
gscoc schermer


Added: pkg/highfrequency/man-roxygen/references.R
===================================================================
--- pkg/highfrequency/man-roxygen/references.R	                        (rev 0)
+++ pkg/highfrequency/man-roxygen/references.R	2014-08-27 14:30:27 UTC (rev 71)
@@ -0,0 +1,18 @@
+#' @references
+#' Andersen, T. G. and T. Bollerslev (1997). Intraday periodicity and volatility
+#' persistence in financial markets. Journal of Empirical Finance 4, 115-158.
+#' 
+#' Beltratti, A. and C. Morana (2001). Deterministic and stochastic methods for estimation
+#' of intraday seasonal components with high frequency data. Economic Notes 30, 205-234.
+#' 
+#' Boudt K., Croux C. and Laurent S. (2011). Robust estimation of intraweek periodicity
+#' in volatility and jump detection. Journal of Empirical Finance 18, 353-367.
+#' 
+#' Fried, Roland (2012). On the online estimation of local constant volatilities.
+#' Computational Statistics and Data Analysis 56, 3080-3090.
+#' 
+#' Kristensen, Dennis (2010). Nonparametric filtering of the realized spot volatility: 
+#' A kernel-based approach. Econometric Theory 26, 60-93.
+#' 
+#' Taylor, S. J. and X. Xu (1997). The incremental volatility information in one million
+#' foreign exchange quotations. Journal of Empirical Finance 4, 317-340.
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