STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE
نویسندگان
چکیده
منابع مشابه
Estimating Covariation : Epps Effect , Microstructure Noise ∗
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We analyse the dependence of stock return cross-correlations on the sampling frequency of the data known as the Epps effect: For high resolution data the cross-correlations are significantly smaller than their asymptotic value as observed on daily data. The former description implies that changing trading frequency should alter the characteristic time of the phenomenon. This is not true for the...
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متن کامل2 00 7 The Epps effect revisited
We analyse the dependence of stock return cross-correlations on the sampling frequency of the data known as the Epps effect: For high resolution data the correlations are significantly smaller than their asymptotic value as observed on daily data. We demonstrate the deficiencies of the existing description and give a relation between correlations on different time scales. After testing our meth...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2011
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024911006838