P&R HP Final.pdf (1.73 MB)
An Exercise in R: High Frequency Covariance estimation using Malliavin-Mancino and Hayashi-Yoshida estimators
online resource
posted on 2019-12-04, 09:25 authored by Patrick ChangPatrick Chang, Roger BukuruRoger Bukuru, Tim GebbieTim GebbieA report submitted in fulfilment of the requirements for the degree of Honours in Statistical Science. The report acts as supporting material for the pre-print titled: "Revisiting the Epps effect using volume time averaging: An exercise in R"