[R] Package for Jump detection

Dear All, Are there any packages in R to carry out the jump detection test and find the jump sizes and its its time of occurence on high frequency data(5 minute interval) using non-parametric approach suggested by Lee and Mykland in their paper "Jumps in Financial Markets: A New Nonparametric Test

[R] convert function in RTAQ package for high frequency data analysis

Hello Everyone, I am trying to convert the txt file into RData format by using convert function in RTAQ package.The txt file looks like: 2010-07-01 08:04:28 SBUX Q 24.9500 100 T 0 0 2010-07-01 08:04:28 SBUX Q 24.9500 100 T 0 0 2010-07-01 08:04:28 SBUX Q 24.9600 300 T 0 0 The code I am using is:

[R] High Frequency Data

Is there any way to analyse high frequency data in R like cleaning,manipulation and volatility etc.I know there are packages like RTAQ and Realized for analysing high frequency data but they are only valid for NYSE stocks and have well defined data format. Please help. [[alternative HTML