/Multi-scale-tests-for-serial-correlation

Code in R replicating the paper Multi-scale tests for serial correlation by Ramadan Gencay nad Daniele Signori

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Multi-scale-tests-for-serial-correlation

Code in R replicating the paper Multi-scale tests for serial correlation by Ramadan Gencay nad Daniele Signori http://www.sciencedirect.com/science/article/pii/S0304407614001754 that can also be obtained through Google Scholar at http://www.econ.queensu.ca/files/other/CESG%202012%20Gencay%20and%20Signori.pdf

I managed to replicate vast majority of the results. Nevertheless, some of the coefficients calculations seem a bit off and my classmates also discovered more discrepancies. It would be necessary to address the authors of the paper with them to clarify.

Tha project was a final coursework in module Quantitative Finance II at Charles University in Prague. http://ies.fsv.cuni.cz/cs/syllab/JEM061 Course syllabus and slides available from here: http://staff.utia.cas.cz/barunik/quantitative_finance2.htm

Lastly, thanks to the trio Dr Barunik, Dr Vacha and Lukas Hanus for a fun and interesting discussions and module - highly recommended!