PC-FIE.zip (63.35 MB)
Fourier instantaneous estimators and the Epps effect: Julia Code
Version 3 2020-08-25, 18:05
Version 2 2020-07-06, 17:34
Version 1 2020-07-06, 15:42
software
posted on 2020-07-06, 17:34 authored by Patrick ChangPatrick Chang, Etienne Pienaar, Tim GebbieTim GebbieJulia Pro code to aid reproducibility of the paper: Fourier instantaneous estimators and the Epps effect. Detailed steps for reproducibility can be found in the README.md document.
The code include several functions and scripts. Included are also the resulting plots for the paper and GIFs.
The research focuses on comparing two Fourier instantaneous estimators and investigate the impact of the Epps effect on the instantaneous estimates.
The work was funded by the South African Statistical Association.
DOI for the dataset: 10.25375/uct.12315092
