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Malliavin-Mancino estimators implemented with the non-uniform fast Fourier transform: Julia Code

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Version 2 2020-08-25, 18:05
Version 1 2020-03-04, 07:53
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posted on 2020-08-25, 18:05 authored by Patrick ChangPatrick Chang, Tim GebbieTim Gebbie, Etienne PienaarEtienne Pienaar
Julia Code to aid reproducibility for the paper: Malliavin-Mancino estimators implemented with the non-uniform fast Fourier transform.

DOI for the Dataset: 10.25375/uct.11903442

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South African Statistical Association

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University of Cape Town

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    Keywords

    Malliavin-Mancino estimatorNon-uniform fast Fourier transformAnalysis of Algorithms and Complexity

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    CC BY 4.0

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