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Found 3 papers, 3 papers with code
The Epps effect under alternative sampling schemes
Concretely, we find that the Epps effect is present under all three definitions of time and that correlations emerge faster under trade time compared to calendar time, whereas correlations emerge linearly under volume time.
Using the Epps effect to detect discrete processes
The Epps effect is key phenomenology relating to high frequency correlation dynamics in financial markets.
Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms
We implement and test kernel averaging Non-Uniform Fast Fourier Transform (NUFFT) methods to enhance the performance of correlation and covariance estimation on asynchronously sampled event-data using the Malliavin-Mancino Fourier estimator.
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