Implementation

Reproducible research repository

1. Statistics for stochastic partial differential equations:

• R package on parameter estimation and simulation of SPDEs by Patrick Bossert at github
• R Code on parameter estimation and simulation of SPDEs (project with Mathias Trabs) at github
• Simulation examples for SPDEs by Patrick Bossert

2. Statistical inference on jumps in high-frequency financial data:

• Quantlet for identification of co-jumps in noisy high-frequency data; supplementary to the manuscripts "Econometrics of co-jumps in high-frequency data with noise" & "ECB monetary policy surprises"

3. Spectral estimation of volatility and covolatility:

• Yuima function on spectral estimators (local method of moments) by Yuta Koike
• Matlab Code by Peter Malec for estimation of the spot covariance matrix with spectral estimators from non-synchronous noisy high-frequency data; described in this web appendix