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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...

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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

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