The Epps effect under alternative sampling schemes

Authors

• Patrick Chang
• Etienne Pienaar
• Tim Gebbie

Link to resources:

Dataset DOI: 10.25375/uct.13258811

Steps for Replication:

• Change directories for all the files under /Scripts. Currently the directories are set as: cd("/Users/patrickchang1/PCEPTG-VT"). Change this to where you have stored the repository.

  • Run /Scripts/Simulation.jl and /Scripts/MoreVT.jl to reproduce the simulation work

• To reproduce the Empirical analysis - download the processed dataset from ZivaHub and put the csv files into the folder /Real Data.

  • Run the scripts that start with Emp to reproduce the empirical work

• We have included the plots under /Plots and Computed results under /Computed Data if one does not wish to re-run everything.

Using the functions for other purposes:

We have built a suite of useful functions that can be used for other applications. For a demonstration on how to use them, please visit: https://github.com/CHNPAT005/PCEPTG-MSC.