Does anyone here has a code for HY estimator, preferably in python?
I have written a very basic code in python but my results are weird. When I run it for two liquid assets traded on two different exchanges simultaneously, I get a correlation of only 0.8% and a lead/analysis shows a kink at 1-sec. It is the same asset trading in two places so the correlation has to be fairly significant and 1-sec of lead/lag is very very unlikely. I was wondering if someone can help or share a few pointers?
I know of the yuima library in R which implements this, but my knowledge of R minimal and hence looking for some help.