Financial correlations at ultra-high frequency: theoretical models and empirical estimation
A 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
Volume (Year): 80 (2011)
Issue (Month): 2 (March)
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