1. Statistics for stochastic partial differential equations:
- 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