The impact of asynchronous trading on Epps effect on Warsaw stock exchange

DOI10.1007/S10100-016-0442-YMaRDI QIDQ2401313zbMATH OpenOpenAlexFDO

Authors Henryk Gurgul, Artur Machno

Publication date 8 September 2017

Published in CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10100-016-0442-y

zbMATH Keywords

market microstructurecorrelation estimationEpps effectasynchronous time seriesasynchronous trading

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Recommendations

• A CLOSER LOOK AT THE EPPS EFFECT
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Cites work

• A CLOSER LOOK AT THE EPPS EFFECT
• High-frequency cross-correlation in a set of stocks
• MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES
• The Distribution of Realized Exchange Rate Volatility
• The Epps effect revisited

Cited in

(5)

• A closed-form formula characterization of the Epps effect
• A CLOSER LOOK AT THE EPPS EFFECT
• The Epps effect revisited
• Testing stability of correlations between liquidity proxies derived from intraday data on the Warsaw Stock Exchange
• Intraday Trading Patterns on the Warsaw Stock Exchange

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