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PortfolioEffectEstim  

High Frequency Price Estimators by PortfolioEffect
View on CRAN: Click here


Download and install PortfolioEffectEstim package within the R console
Install from CRAN:
install.packages("PortfolioEffectEstim")

Install from Github:
library("remotes")
install_github("cran/PortfolioEffectEstim")

Install by package version:
library("remotes")
install_version("PortfolioEffectEstim", "1.4")



Attach the package and use:
library("PortfolioEffectEstim")
Maintained by
Andrey Kostin
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2015-11-13
Latest Update:
Description:
R interface to PortfolioEffect cloud service for estimating high frequency price variance, quarticity, microstructure noise variance, and other metrics in both aggregate and rolling window flavors. Constructed estimators could use client-side market data or access HF intraday price history for all major US Equities. See for more information on the PortfolioEffect high frequency portfolio analytics platform.
How to cite:
Andrey Kostin (2015). PortfolioEffectEstim: High Frequency Price Estimators by PortfolioEffect. R package version 1.4, https://cran.r-project.org/web/packages/PortfolioEffectEstim. Accessed 25 Jun. 2026.
Previous versions and publish date:
1.0 (2015-11-13 12:02), 1.1 (2015-12-07 23:13), 1.2 (2016-02-04 11:27), 1.3 (2016-07-27 03:04), 1.4 (2016-09-17 19:54)
Other packages that cited PortfolioEffectEstim R package
View PortfolioEffectEstim citation profile
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