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Exploring-The-Epps-Effect-R

Version 2 2019-12-06, 11:19
Version 1 2019-12-06, 06:27
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posted on 2019-12-06, 11:19 authored by Roger BukuruRoger Bukuru, Patrick ChangPatrick Chang, Tim GebbieTim Gebbie
Revisiting the Epps effect using volume time averaging: An exercise in R

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Statistical Sciences

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    Faculty of Science

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    Keywords

    Malliavin-MancinoHayashi-YoshidaEpps effectIntrinsic timeAsynchronous dataStatistics

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    MIT

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