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PortfolioEffectEstim
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]
[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 26 Aug. 2026.
Previous versions and publish date:
Other packages that cited PortfolioEffectEstim R package
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Other R packages that PortfolioEffectEstim depends,
imports, suggests or enhances
Functions, R codes and Examples using
the PortfolioEffectEstim R package
Some associated functions: estimator-class . estimator_availableSymbols . estimator_create . estimator_defaultSettings . estimator_getSettings . estimator_settings . noise_acnv . noise_nts . noise_rnv . noise_urnv . noise_uznv . price . quarticity_mrq . quarticity_mtq . quarticity_rq . quarticity_rqq . quarticity_rtq . variance_jrmrv . variance_krv . variance_mrv . variance_msrv . variance_rv . variance_tsrv . variance_uzrv .
Some associated R codes: message.R . metrics.R . onLoad.R . util.R . Full PortfolioEffectEstim package functions and examples
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