A CLOSER LOOK AT THE EPPS EFFECT

DOI10.1142/S0219024903001839MaRDI QIDQ5696843zbMATH OpenOpenAlexFDO

Authors Roberto Renò

Publication date 19 October 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024903001839

zbMATH Keywords

correlationsFourier estimatorhigh frequency data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• The Epps effect revisited
• STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE
• Estimating covariation: Epps effect, microstructure noise
• The impact of asynchronous trading on Epps effect on Warsaw stock exchange
• A closed-form formula characterization of the Epps effect

Cites work

• An econometric analysis of nonsynchronous trading
• ARCH models as diffusion approximations
• Closing the GARCH gap: Continuous time GARCH modeling
• Fourier series method for measurement of multivariate volatilities
• Generalized autoregressive conditional heteroscedasticity
• Information, endogenous uncertainty and risk aversion
• On measuring volatility of diffusion processes with high frequency data
• The Distribution of Realized Exchange Rate Volatility

Cited in

(22)

• No arbitrage and lead-lag relationships
• The impact of asynchronous trading on Epps effect on Warsaw stock exchange
• Estimation of quarticity with high-frequency data
• A Markov chain estimator of multivariate volatility from high frequency data
• STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE
• The Epps effect revisited
• scientific article; zbMATH DE number 7387568 (Why is no real title available?)
• High-dimensional realized covariance estimation: a parametric approach
• A closed-form formula characterization of the Epps effect
• Malliavin-Mancino estimators implemented with nonuniform fast Fourier transforms
• Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
• Cross-impact of order flow imbalance in equity markets
• Review of statistical approaches for modeling high-frequency trading data
• Copula estimation for nonsynchronous financial data
• When is cross impact relevant?
• Detecting discrete processes with the Epps effect
• Revisiting elastic string models of forward interest rates
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Inference for time-varying lead-lag relationships from ultra-high-frequency data
• Effect magnitude: a different focus

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