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Malliavin-Mancino estimators implemented with the non-uniform fast Fourier transform: Dataset

dataset
posted on 25.08.2020 by Patrick Chang, Tim Gebbie, Etienne Pienaar
Dataset to aid reproducibility for the paper: Malliavin-Mancino estimators implemented with the non-uniform fast Fourier transform.

Data consists of Trade and Quote data for 10 equities from the Johannesburg Stock Exchange. The data has been processed to contain only the Automated Trade (AT) types. Furthermore, trades with the same time-stamp has been aggregated to using a volume weighted average so that there is only one trade per time-stamp. Missing data is indicated with NaN's.

DOI for the code: 10.25375/uct.11929290

Funding

South African Statistical Association

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University of Cape Town

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