Malliavin-Mancino estimators implemented with the non-uniform fast Fourier transform: Dataset

Dataset to aid reproducibility for the paper: Malliavin-Mancino estimators implemented with the non-uniform fast Fourier transform.Data consists of Trade and Quote data for 10 equities from the Johannesburg Stock Exchange. The data has been processed to contain only the Automated Trade (AT) types. Furthermore, trades with the same time-stamp has been aggregated to using a volume weighted average so that there is only one trade per time-stamp. Missing data is indicated with NaN's.DOI for the code: 10.25375/uct.11929290

本数据集旨在支持论文《基于非均匀快速傅里叶变换实现的 Malliavin-Mancino 估计器》的重复性验证。数据集包含约翰内斯堡证券交易所10种股票的交易和报价数据，经过处理，仅保留自动化交易（AT）类型。此外，具有相同时间戳的交易已被汇总为按成交量加权的平均值，以确保每个时间戳仅对应一条交易。缺失数据以 NaN 表示。代码的 DOI 为：10.25375/uct.11929290。