Changes in version 1.0.2 (2025-12-08) - Bug fix: spotVol had some clash arguments when specifying m - Documentation fix in rThresholdCov - Performance improvement suggestion via Github issues #103 Changes in version 1.0.1 (2023-10-04) - New function: rmOutliersTrades - Bug fix: exchangeHoursOnly doesn't work for xts - Bug fix: rMinRVar and rMPVar didn't work with data.table Changes in version 1.0.0 (2022-10-26) - Updated citation as a paper on our package will be published in the Journal of Statistical Software Changes in version 0.9.5 (2022-08-17) - Fixing KaTeX note Changes in version 0.9.4 (2022-05-03) - Fixing reverse dependency issues w.r.t. FKF - Removed option based on BMS package because it got removed from CRAN Changes in version 0.9.3 (2022-04-21) - HEAVY model test less strict - Corrected bitwise '&' with boolean operand Changes in version 0.9.2 (2022-01-13) - Export noZeroPrices Changes in version 0.9.1 (2021-11-02) - Bug fix in ReMeDI estimator Changes in version 0.9.0 (2021-06-11) - Fix typo where in spotVol, the stochastic periodicity was erroneously written as stochper instead of stochPer. - Better consistency with the choices in spot* functions - Add warning instead of print in detPer in spotVol. The periodic component is no longer set to 1 either, just warned that results may be weird. - Implement Beta-Adjusted realized covariance estimation in the rBACov function - Add plotTQData function to plot trades and quotes. - Add ICov and IVar documentation pages that work as lists of implemented estimators of the integrated covariance and the integrated variance, respectively. - Deprecated loads of realized measure estimators and added new versions, so we have a higher degree of uniformity in function names. - More or less complete rework of HEAVY model and related functions - Fix bug in HARCJ model, thanks to @SKMASON (Zhixi Shao) for reporting the bug and providing pointers for the fix. - Better formatting of NEWS.md - aggregateTS now accept both data.table and xts objects Changes in version 0.8.0 (2021-01-09) - Various bugfixes and performance improvements - Added lowercase "r" in front of realized measures that did not have it, so it can easily be found in IDEs with highfrequency:: - Added drift burst code - Added Backwards - Forwards matching algorithm to cleaning step. Thanks to Kim Christensen for providing his Matlab code. - removed various datasets, outdated TAQ format, simulated 5-minute prices, returns, and prices with jumps - Added European sample data, anonymized one-minute data with anonymous stock and market data, as well as home-grown dataset with realized measures - The arguments "on" and "k" in data handling is now "alignBy" and "alignPeriod" respectively. This means that the realized measures and data handling functions have similar notation - Improved UX in data cleaning functions by having more clear report on the trades when prompted and adding defaults that follow the standard in the literature - Added data.table support to (most) realized measures - Added functions makeRMFormat and makeOHLCV to convert data from a long format to a format that can be used for realized measures, and to make arbitrary period bars. - HARmodel has less 'RV' in the types - much easier to type and read, also it now supports an external regressor and has robust standard errors reported in the summary. - add asymptotic variance estimator for ReMeDI estimation - thanks to Merrick Li for contributing his Matlab code - In general, improved documentation. Also, better documentation of methods which were, in most cases undocumented and not clearly exported Changes in version 0.7.0 (2020-09-15) - New naming convention - Bugfix in BNSjumpTest, JOjumpTest, AJjumpTest. These functions behaved in an unexpected and inconsistent manner when the input spanned more than one day - Bugfix in aggregateTS function which in edge cases returned data from AFTER the input data - Implement intradayJumpTest function which allows for flexible Lee-Mykland style jump tests - Implement rankJumpTest to test for the rank of the jump matrix - Implement new features in spotVol. Now the local volatility can be estimated with realized measures, they can also be used with pre-averaged realized measures. - Implement a wrapper around quantmod's getSymbols.av function - harModel now includes Newey-West standard errors in the output - Bugfix for refreshTime function and large performance improvement - Implement CholCov estimator in rCholCov - Bugfixes in data handling functions, which sometimes produced different results depending on the options(digits.secs) setting. Most data handling functions now run considerably faster as a consequence of internally using numerics for timestamps. - Implemented new realized semi-covariance estimator in rSemiCov - Implemented new lead-lag estimation in leadLag - Implemented ReMeDI estimation in ReMeDI - More transparently handle the lagging of quotes when matching these with trades, now the user has control of this. - Add business time sampling - Changes to the included datasets. The microseconds quote datasets have been thinned out aggressively for exchanges != "N" Changes in version 0.6.5 (2020-04-15) - bug fix for kernelCov if cor = TRUE - compatibility with lubridate 1.7.8 Changes in version 0.6.4 (2020-02-26) - bug fix in refreshTime (affected rMRC for n > 2) - one additional test for rMRC - updated realized library file until end of 2019 Changes in version 0.6.3 (2020-01-14) - aggregateTrades size aggregation bug fix Changes in version 0.6.2 (2019-12-13) - spotVol and spotDrift do not assume naming convention for univariate time series anymore - bug fix tpv and finite sample corrections Changes in version 0.6.1 (2019-08-29) - bug fix for Fedora compilation Changes in version 0.6.0 (2019-08-20) - all new backend - documentation via roxygen2 - testing via test_that - covr integration on github - microsecond compatibility for WRDS files - improved documentation - new options in harModel - updated data sets - updated references - cleanup of code basis Changes in version 0.5 (2017-02-15) - converted so that it would work with Cran - added missing data files - compressed data files Changes in version 0.4 (2014-11-28) - update package code github to version on rforge - to do: print more output in tradesCleanup about the different filters - correction to implementation AJjumptest by Giang