3 citations · 8 across the 3 of their papers we have counts for
4 papers
Comparing the market microstructure between two South African exchanges
Ivan Jericevich, Patrick Chang, Tim Gebbie
We consider shared listings on two South African equity exchanges: the Johannesburg Stock Exchange (JSE) and the A2X Exchange. A2X is an alternative exchange that provides for both…
Fourier instantaneous estimators and the Epps effect
Patrick Chang
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 e…
Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms
Patrick Chang, Etienne Pienaar, Tim Gebbie
We implement and test kernel averaging Non-Uniform Fast Fourier Transform (NUFFT) methods to enhance the performance of correlation and covariance estimation on asynchronously samp…
Revisiting the Epps effect using volume time averaging: An exercise in R
Patrick Chang, Roger Bukuru, Tim Gebbie
We revisit and demonstrate the Epps effect using two well-known non-parametric covariance estimators; the Malliavin and Mancino (MM), and Hayashi and Yoshida (HY) estimators. We sh…