Malliavin-Mancino estimators implemented with the non-uniform fast Fourier transform: Dataset
datasetposted on 2020-08-25, 18:06 authored by Patrick ChangPatrick Chang, Tim GebbieTim Gebbie, Etienne PienaarEtienne 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