AJjumpTest              Ait-Sahalia and Jacod (2009) tests for the
                        presence of jumps in the price series.
BNSjumpTest             Barndorff-Nielsen and Shephard (2006) tests for
                        the presence of jumps in the price series.
HARmodel                Heterogeneous autoregressive (HAR) model for
                        realized volatility model estimation
HEAVYmodel              HEAVY model estimation
ICov                    Estimators of the integrated covariance
IVar                    Estimators of the integrated variance
IVinference             Function returns the value, the standard error
                        and the confidence band of the integrated
                        variance (IV) estimator.
JOjumpTest              Jiang and Oomen (2008) tests for the presence
                        of jumps in the price series.
RV                      DEPRECATED DEPRECATED USE 'rRVar'
ReMeDI                  ReMeDI
ReMeDIAsymptoticVariance
                        Asymptotic variance of ReMeDI estimator
SPYRM                   SPY realized measures
aggregatePrice          Aggregate a time series but keep first and last
                        observation
aggregateQuotes         Aggregate a 'data.table' or 'xts' object
                        containing quote data
aggregateTS             Aggregate a time series
aggregateTrades         Aggregate a 'data.table' or 'xts' object
                        containing trades data´
autoSelectExchangeQuotes
                        Retain only data from the stock exchange with
                        the highest volume
autoSelectExchangeTrades
                        Retain only data from the stock exchange with
                        the highest trading volume
businessTimeAggregation
                        Business time aggregation
driftBursts             Inference on drift burst hypothesis
exchangeHoursOnly       Extract data from an 'xts' object for the
                        exchange hours only
gatherPrices            Make TAQ format
getAlphaVantageData     Get high frequency data from Alpha Vantage
getCriticalValues       Get critical value for the drift burst
                        hypothesis t-statistic
getLiquidityMeasures    Compute Liquidity Measure
getTradeDirection       Get trade direction
highfrequency-package   highfrequency: Tools for Highfrequency Data
                        Analysis
intradayJumpTest        Intraday jump tests
knChooseReMeDI          ReMeDI tuning parameter
leadLag                 Lead-Lag estimation
listAvailableKernels    Available kernels
listCholCovEstimators   Utility function listing the available
                        estimators for the CholCov estimation
makeOHLCV               Make Open-High-Low-Close-Volume bars
makePsd                 Returns the positive semidefinite projection of
                        a symmetric matrix using the eigenvalue method
makeRMFormat            DEPRECATED use 'spreadPrices'
makeReturns             Compute log returns
matchTradesQuotes       Match trade and quote data
mergeQuotesSameTimestamp
                        Merge multiple quote entries with the same time
                        stamp
mergeTradesSameTimestamp
                        Merge multiple transactions with the same time
                        stamp
noZeroPrices            Delete the observations where the price is zero
noZeroQuotes            Delete the observations where the bid or ask is
                        zero
plot.DBH                Plotting method for 'DBH' objects
plot.HARmodel           Plotting method for HARmodel objects
plot.HEAVYmodel         Plotting method for HEAVYmodel objects
plotTQData              Plot Trade and Quote data
predict.HARmodel        Predict method for objects of type 'HARmodel'
predict.HEAVYmodel      Iterative multi-step-ahead forecasting for
                        HEAVY models
print.DBH               Printing method for 'DBH' objects
print.HARmodel          Printing method for 'HARmodel' objects
quotesCleanup           Cleans quote data
rAVGCov                 Realized covariances via subsample averaging
rBACov                  rBACov
rBPCov                  Realized bipower covariance
rBeta                   Realized beta
rCholCov                CholCov estimator
rCov                    Realized covariance
rHYCov                  Hayashi-Yoshida covariance
rKernelCov              Realized kernel estimator
rKurt                   Realized kurtosis of highfrequency return
                        series.
rMPV                    DEPRECATED
rMPVar                  Realized multipower variation
rMRC                    DEPRECATED rMRC
rMRCov                  Modulated realized covariance
rMedRQ                  DEPRECATED
rMedRQuar               An estimator of integrated quarticity from
                        applying the median operator on blocks of three
                        returns
rMedRV                  DEPRECATED
rMedRVar                rMedRVar
rMinRQ                  DEPRECATED
rMinRQuar               An estimator of integrated quarticity from
                        applying the minimum operator on blocks of two
                        returns
rMinRV                  DEPRECATED
rMinRVar                rMinRVar
rOWCov                  Realized outlyingness weighted covariance
rQPVar                  Realized quad-power variation of intraday
                        returns
rQuar                   Realized quarticity
rRTSCov                 Robust two time scale covariance estimation
rRVar                   An estimator of realized variance.
rSV                     DEPRECATED
rSVar                   Realized semivariance of highfrequency return
                        series
rSemiCov                Realized semicovariance
rSkew                   Realized skewness
rTPQuar                 Realized tri-power quarticity
rTSCov                  Two time scale covariance estimation
rThresholdCov           Threshold Covariance
rankJumpTest            Rank jump test
refreshTime             Synchronize (multiple) irregular timeseries by
                        refresh time
rmLargeSpread           Delete entries for which the spread is more
                        than 'maxi' times the median spread
rmNegativeSpread        Delete entries for which the spread is negative
rmOutliersQuotes        Remove outliers in quotes
rmOutliersTrades        Remove outliers in trades without using quote
                        data
rmTradeOutliersUsingQuotes
                        Delete transactions with unlikely transaction
                        prices
salesCondition          salesCondition is deprecated. Use
                        tradesCondition instead.
sampleMultiTradeData    Multivariate tick by tick data
sampleOneMinuteData     One minute data
sampleQData             Sample of cleaned quotes for stock XXX for 2
                        days measured in microseconds
sampleQDataRaw          Sample of raw quotes for stock XXX for 2 days
                        measured in microseconds
sampleTData             Sample of cleaned trades for stock XXX for 2
                        days
sampleTDataEurope       European data
sampleTDataRaw          Sample of raw trades for stock XXX for 2 days
selectExchange          Retain only data from a single stock exchange
spotDrift               Spot Drift Estimation
spotVol                 Spot volatility estimation
spreadPrices            Convert to format for realized measures
summary.HARmodel        Summary for 'HARmodel' objects
tradesCleanup           Cleans trade data
tradesCleanupUsingQuotes
                        Perform a final cleaning procedure on trade
                        data
tradesCondition         Delete entries with abnormal trades condition.
