To cite highfrequency in publications use:

Boudt K, Kleen O, Sjørup E (2022). “Analyzing Intraday Financial Data in R: The highfrequency Package.” Journal of Statistical Software, 104(8), 1–36. doi:10.18637/jss.v104.i08.

Corresponding BibTeX entry:

  @Article{,
    title = {Analyzing Intraday Financial Data in R: The highfrequency
      Package},
    author = {Kris Boudt and Onno Kleen and Emil Sj{\o}rup},
    journal = {Journal of Statistical Software},
    year = {2022},
    volume = {104},
    number = {8},
    pages = {1--36},
    doi = {10.18637/jss.v104.i08},
  }