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The Epps effect under alternative sampling schemes: Julia code

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posted on 19.11.2020, 09:43 by Patrick Chang, Etienne Pienaar, Tim Gebbie
Julia Code to reproduce the work in the paper titled: "The Epps effect under alternative sampling schemes".

Instructions for replication can be found in the README.md document.

The paper investigates the Epps effect under different definitions of time.

The work was funded by the South African Statistical Association.

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South African Statistical Association

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Statistical Sciences

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