Financial correlations at ultra-high frequency: theoretical models and empirical estimation
Iacopo Mastromatteo,
Matteo Marsili and
Patrick Zoi
Papers from arXiv.org
Abstract:
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.
Date: 2010-11, Revised 2011-02
New Economics Papers: this item is included in nep-ets, nep-mst and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1011.1011
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