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The Epps effect under alternative sampling schemes: Julia code

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posted on 2020-11-19, 09:43 authored by Patrick ChangPatrick Chang, Etienne PienaarEtienne Pienaar, Tim GebbieTim Gebbie
Julia Code to reproduce the work in the paper titled: "The Epps effect under alternative sampling schemes".

Instructions for replication can be found in the README.md document.

The paper investigates the Epps effect under different definitions of time.

The work was funded by the South African Statistical Association.

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South African Statistical Association

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Department/Unit

Statistical Sciences

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    Faculty of Science

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    Keywords

    Epps effectHawkes processCalendar timeTrade timeVolume timeTime-Series Analysis

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    MIT

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