P&R HP Final.pdf (1.73 MB)

An Exercise in R: High Frequency Covariance estimation using Malliavin-Mancino and Hayashi-Yoshida estimators

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posted on 04.12.2019 by Patrick Chang, Roger Bukuru, Tim Gebbie

A 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"

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National Research Foundation (NRF)

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University of Cape Town

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