Implementation
Reproducible research repository
1. Statistics for stochastic partial differential equations:
- R package on simulation and visualization of multi-dimensional SPDEs by Patrick Bossert at github
- 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. Statistics for high-frequency financial data with market microstructure 1 (one-sided noise):
- R Code on testing for jumps from (best ask) prices in a limit order book with "limit order microstructure noise" (implemented by Alexander Ristig) at github
- R Code on asset-specific parametric limit order microstructure noise by Adrian Grüber
3. Statistics for high-frequency financial data with market microstructure 2 (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
4. Fractional Brownian motion and rough volatility
- R Code for the paper Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion by Chen Zhang
- R Code for replicating the data application from "Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent" (implemented by Michael Sonntag) at github
