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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1011.1011.
Date of creation: Nov 2010
Date of revision: Feb 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-13 (All new papers)
- NEP-ETS-2010-11-13 (Econometric Time Series)
- NEP-MST-2010-11-13 (Market Microstructure)
- NEP-RMG-2010-11-13 (Risk Management)
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