STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE (Q3225026): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE |
scientific article |
Statements
STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE (English)
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13 March 2012
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market microstructure
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Epps effect
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nonsynchronous trading
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correlation estimation
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covariance estimation
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realized variance
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