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!