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Exploring-The-Epps-Effect-R

software

posted on 06.12.2019, 11:19 by Roger Bukuru, Patrick Chang, Tim Gebbie

Revisiting the Epps effect using volume time averaging: An exercise in R

History

Department/Unit

Statistical Sciences

Usage metrics

Keywords

Malliavin-Mancino Hayashi-Yoshida Epps effect Intrinsic time Asynchronous data

Licence

MIT