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

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posted on 2019-12-04, 09:25 authored by Patrick ChangPatrick Chang, Roger BukuruRoger Bukuru, Tim GebbieTim 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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    Faculty of Science

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    Keywords

    Malliavin-MancinoHayashi-YoshidaEpps effectIntrinsic timeAsynchronous dataStatistics

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    CC BY 4.0

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