A closed-form formula characterization of the Epps effect

DOI10.1080/14697688.2019.1659992MaRDI QIDQ5121493zbMATH OpenOpenAlexWikidataFDO

Authors Giuseppe Buccheri, Giulia Livieri, Davide Pirino, Alessandro Pollastri

Publication date 14 September 2020

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2019.1659992

zbMATH Keywords

liquidityrealized covarianceEpps effectinfill asymptotic

Mathematics Subject Classification ID

Financial markets (91G15)

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Cites work

• A CLOSER LOOK AT THE EPPS EFFECT
• An econometric analysis of nonsynchronous trading
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
• Estimating covariation: Epps effect, microstructure noise
• Evaluating Volatility and Correlation Forecasts
• Excess idle time
• High-dimensional copula-based distributions with mixed frequency data
• High-frequency covariance estimates with noisy and asynchronous financial data
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• On covariance estimation of non-synchronously observed diffusion processes
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
• STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE
• Stochastic differential equations. An introduction with applications.
• The Model Confidence Set
• The impact of asynchronous trading on Epps effect on Warsaw stock exchange

Cited in

(10)

• A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
• Detecting discrete processes with the Epps effect
• Volatility Estimation When the Zero-Process is Nonstationary
• A CLOSER LOOK AT THE EPPS EFFECT
• The Epps effect revisited
• Managing liquidity with portfolio staleness
• On Bivariate Time-Varying Price Staleness
• Dynamic Discrete Mixtures for High-Frequency Prices
• Financial modelling with multivariate mixed fractional Brownian motion
• High-dimensional realized covariance estimation: a parametric approach

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