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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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| Vydáno v: | PLoS One |
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| Hlavní autor: | |
| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Public Library of Science
2020
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| Témata: | |
| On-line přístup: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7508410/ https://ncbi.nlm.nih.gov/pubmed/32960915 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1371/journal.pone.0239415 |
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