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.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrew W. Lo & Craig A. MacKinlay, .
"An Econometric Analysis of Nonsyschronous-Trading,"
Rodney L. White Center for Financial Research Working Papers
19-89, Wharton School Rodney L. White Center for Financial Research.
- Zhang, Lan, 2011. "Estimating covariation: Epps effect, microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 33-47, January.
- Imre Kondor & Szilard Pafka & Gabor Nagy, 2006.
"Noise sensitivity of portfolio selection under various risk measures,"
- Kondor, Imre & Pafka, Szilard & Nagy, Gabor, 2007. "Noise sensitivity of portfolio selection under various risk measures," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1545-1573, May.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1011.1011. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If references are entirely missing, you can add them using this form.