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Financial correlations at ultra-high frequency: theoretical models and empirical estimation

Iacopo Mastromatteo, Matteo Marsili and Patrick Zoi

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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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Citations: View citations in EconPapers (9)

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