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0.07.01
The version I submitted to Econometrica.
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0.05.06
Added a function to simulate a model with Poisson jumps.
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0.05.05
This is the version of the slides I presented in the Finance seminar.
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0.05.04
This is the version I presented in the econometrics lunch.
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0.05.03
Switched to a version of the noise that does has the correct asymptotics.
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0.05.02
Added some code to simulate data with noise included.
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0.05.01
Fixed a bug in the way that I was calculating the volatilities.
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0.04.03
Fixed some issues with the way that I was computing the other people's volatility estimators when I preaverage.
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0.04.02
Renamed the extension and started applying Flake8
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0.04.01
Updated the build system to support conda build 3.
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0.03.12
This is the version that I submitted to the SoFiE Summer School.
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0.03.11
Finished the slides for the Wharton Finance Lunch Talk.
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0.03.10
Added some code to estimate the bollerslev model.
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0.03.09
Reworked some of the way that I was calculating the log-likelihood slightly and updated some graphs.
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0.03.08
Fixed the bug that was causing the variances to be incorrect.
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0.03.07
Fixed the way that I am using the heteroskedasticity adjustements.