Fourier instantaneous estimators and the Epps effect

We compare the Malliavin-Mancino and Cuchiero-Teichmann Fourier instantaneous estimators to investigate the impact of the Epps effect arising from asynchrony in the instantaneous estimates. We demonstrate the instantaneous Epps effect under a simulation setting and provide a simple method to amelior...

Descripción completa

Detalles Bibliográficos
Autor principal: Chang, Patrick
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2020
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7508410/
https://www.ncbi.nlm.nih.gov/pubmed/32960915
http://dx.doi.org/10.1371/journal.pone.0239415

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7508410/
https://www.ncbi.nlm.nih.gov/pubmed/32960915
http://dx.doi.org/10.1371/journal.pone.0239415

Ejemplares similares