STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE (Q3225026)
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scientific article; zbMATH DE number 6014430
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| default for all languages | No label defined |
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| English | STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE |
scientific article; zbMATH DE number 6014430 |
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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0.8969052
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0.8959408
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0.84137934
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0.83284736
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0.8314956
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0.82739353
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0.81355053
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0.8118238
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0.80908006
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