Detecting discrete processes with the Epps effect

DOI10.3934/FMF.2025002MaRDI QIDQ7000869zbMATH OpenFDO

Authors Patrick Chang, Etienne A. D. Pienaar, Tim Gebbie

Publication date 7 April 2025

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/FMF.2025002

zbMATH Keywords

asynchronous samplingBrownian motionEpps effectHawkes processmarket microstructurestatistical finance

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Brownian motion (60J65) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

Cites work

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• The Epps effect revisited
• Ultra high frequency volatility estimation with dependent microstructure noise
• Volatility is rough

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