The Epps effect under alternative sampling schemes
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DOI: 10.1016/j.physa.2021.126329
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- Ivan Jericevich & Patrick Chang & Tim Gebbie, 2021. "Simulation and estimation of an agent-based market-model with a matching engine," Papers 2108.07806, arXiv.org, revised Aug 2021.
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Keywords
Epps effect; Hawkes process; Volume time; Trade time; Calendar time;All these keywords.
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