Changes in version 0.8.0 - 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 - removed various datasets, outdated TAQ format, simulated 5-minute prices, returns, and prices with jumps - Added European sample data, anonymized one-minute data with anonymous stock and market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 - 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 - bug fix for kernelCov if cor = TRUE - compatibility with lubridate 1.7.8

Changes in version 0.6.4 - 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 - aggregateTrades size aggregation bug fix

Changes in version 0.6.2 - spotVol and spotDrift don not assume naming convention for univariate time series anymore - bug fix tpv and finite sample corrections

Changes in version 0.6.1 - bug fix for Fedora compilation

Changes in version 0.6.0 - 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 - converted so that it would work with Cran - added missing data files - compressed data files

Changes in version 0.4 - 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