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  1. PCEPTG-MSC PCEPTG-MSC Public

    Patrick Chang's Masters dissertation supervised by Tim Gebbie and Etienne Pienaar working on building a suit of fast integrated and instantaneous volatility/co-volatility estimators. Additionally, …

    Julia 1

  2. PCEPTG-EC PCEPTG-EC Public

    Patrick Chang's Masters project supervised by Tim Gebbie and Etienne Pienaar working on discriminating between samples from correlated continuous and discrete random events

    Julia 2

  3. PC-FIE PC-FIE Public

    Patrick Chang's Masters project supervised by Tim Gebbie and Etienne Pienaar working on Fourier instantaneous estimators to investigate the Epps effect.

    1

  4. PCEPTG-MM-NUFFT PCEPTG-MM-NUFFT Public

    Patrick Chang's Masters project supervised by Tim Gebbie and Etienne Pienaar working on a Non-Uniform Fast Fourier Transform for the Malliavin-Mancino estimator.

    TeX 3 1

  5. PCIJAPTG-A2XvsJSE PCIJAPTG-A2XvsJSE Public

    Comparing the market structure between the JSE and the A2X exchange in the South African market

    Julia 1

  6. PCRBTG-VT PCRBTG-VT Public

    Investigating the Epps effect under different definitions of time.

    Julia 2