STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE (Q3225026): Difference between revisions

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+.6157
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+Generalized autoregressive conditional heteroscedasticity
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+Covariance measurement in the presence of non-synchronous trading and market microstructure noise
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+On covariance estimation of non-synchronously observed diffusion processes
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+A CLOSER LOOK AT THE EPPS EFFECT
@@ Property / cites work: A CLOSER LOOK AT THE EPPS EFFECT / rank @@
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+The Epps effect revisited
@@ Property / cites work: The Epps effect revisited / rank @@
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+Estimating covariation: Epps effect, microstructure noise
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