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Exploring-The-Epps-Effect-R

software
posted on 06.12.2019, 11:19 by Roger BukuruRoger Bukuru, Patrick ChangPatrick Chang, Tim GebbieTim Gebbie
Revisiting the Epps effect using volume time averaging: An exercise in R

History

Department/Unit

Statistical Sciences

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Faculty of ScienceFaculty of Science

Categories

Keywords

Malliavin-MancinoHayashi-YoshidaEpps effectIntrinsic timeAsynchronous data

Licence

MIT

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