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

2019-12-04T09:25:01Z (GMT) 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"