Financial correlations at ultra-high frequency: theoretical models and empirical estimation
AbstractA detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales – the so-called Epps effect. This provides a characterization of stochastic models of stock price returns which is appropriate at very high frequency. Copyright EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg 2011
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Bibliographic InfoArticle provided by Springer in its journal The European Physical Journal B.
Volume (Year): 80 (2011)
Issue (Month): 2 (March)
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Web page: http://www.springer.com/economics/journal/10051
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