The Epps effect revisited

DOI10.1080/14697680802595668zbMath1180.91318arXiv0704.1099OpenAlexW3106379643MaRDI QIDQ3650961

Bence Tóth, János Kertész

Publication date: 7 December 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.1099

zbMATH Keywords

correlationmarket efficiencymarket microstructureeconophysicsbehavioural finance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (9)

The times change: multivariate subordination. Empirical facts ⋮ The impact of asynchronous trading on Epps effect on Warsaw stock exchange ⋮ STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE ⋮ Cross-impact of order flow imbalance in equity markets ⋮ Unnamed Item ⋮ Emergence of statistically validated financial intraday lead-lag relationships ⋮ Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms ⋮ Optimizing a basket against the efficient market hypothesis ⋮ Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case

Cites Work

• Estimating covariation: Epps effect, microstructure noise
• An econometric analysis of nonsynchronous trading
• Correlation based networks of equity returns sampled at different time horizons
• On covariance estimation of non-synchronously observed diffusion processes
• A CLOSER LOOK AT THE EPPS EFFECT

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