This repository contains the code and the data used in the paper "Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity".

The files are organized as follows.

• data folder
  • SP100_constituents_5min.Rdata 5-minute prices of SP100 consituents.
  • SP100_30y.xlsx daily prices of SP100 constituents.
• code folder
  • application.R Code to generate the plots contained in Figure 5. To change the stock pairs you have to reassign the string variables stck1 and stck2. It uses the R data file SP100_constituents_5min.Rdata.
  • dyn_cor_sim.R Code to carry out the simulations and application of Section 4. It uses the data in the Excel file SP100_30y.xlsx.
  • plots_maker.R Code to produce Figure 9 and 10.
  • sim_rho_estim.R Code to produce the simultions of Section 2.2. Version with known medians.
  • sim_rho_estim_demean.R Code to produce the simultions of Section 2.2. Version with estimated medians.