High frequency correlation modelling
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References listed on IDEAS
- Ovidiu V. Precup & Giulia Iori, 2007.
"Cross-correlation Measures in the High-frequency Domain,"
The European Journal of Finance,
Taylor & Francis Journals, vol. 13(4), pages 319-331.
- Precup, O. V. & Iori, G., 2005. "Cross-correlation measures in the high-frequency domain," Working Papers 05/04, Department of Economics, City University London.
- Bence Toth & Janos Kertesz, 2009. "The Epps effect revisited," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 793-802.
- Tóth, Bence & Kertész, János, 2007. "On the origin of the Epps effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 54-58.
- Bence Toth & Janos Kertesz, 2007. "On the origin of the Epps effect," Papers physics/0701110, arXiv.org, revised Feb 2007.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-22 (All new papers)
- NEP-ETS-2011-09-22 (Econometric Time Series)
- NEP-MST-2011-09-22 (Market Microstructure)
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