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Exploring-The-Epps-Effect-R

Version 2 2019-12-06, 11:19

Version 1 2019-12-06, 06:27

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posted on 2019-12-06, 11:19 authored by Roger BukuruRoger Bukuru, Patrick ChangPatrick Chang, Tim GebbieTim Gebbie

Revisiting the Epps effect using volume time averaging: An exercise in R

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Department/Unit

Statistical Sciences

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Keywords

Malliavin-Mancino Hayashi-Yoshida Epps effect Intrinsic time Asynchronous data Statistics

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MIT

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