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Fourier instantaneous estimators and the Epps effect: Julia Code

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posted on 25.08.2020, 18:05 by Patrick Chang, Tim Gebbie, Etienne Pienaar
Julia 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

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South African Statistical Association

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Statistical Science

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