Dear reader, 

Here you can find the code to replicate our paper (Bouamara, Laurent, Shi, 2025, Journal of Financial Econometrics). 
Updates will be made available on this page (https://github.com/nabilbouamara/StepC). 

If you'd like to get started quickly, please have a look at the quickstart.R script. 

* The code in '/sims'  reproduces Section 3 of the paper. 
* The code in '/burst' reproduces Section 4 of the paper. The empirical application uses commercial data; we provide a sub-analysis with one day of cleaned, aggregated and backfilled price data. The code to simulate and estimate drift bursts was generously shared by the authors of the drift burst hypothesis (Christensen, Oomen and Reno, 2022, Journal of Econometrics). 
* The code in '/alpha' reproduces Section 5 of the paper. The code to simulate assets and factor returns was generously shared by Shi, Su, and Xie (2025, Review of Economics and Statistics). 

Kind regards, 
Nabil Bouamara
nabil.bouamara@nbb.be