Financial correlations at ultra-high frequency: theoretical models and empirical estimation
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Cited by:
- Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020. "Using the Epps effect to detect discrete processes," Papers 2005.10568, arXiv.org, revised Oct 2021.
- Andre Cardoso Barato & Iacopo Mastromatteo & Marco Bardoscia & Matteo Marsili, 2011. "Impact of meta-order in the Minority Game," Papers 1112.3908, arXiv.org, revised Nov 2012.
- Patrick Chang, 2020. "Fourier instantaneous estimators and the Epps effect," Papers 2007.03453, arXiv.org, revised Sep 2020.
- Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020. "The Epps effect under alternative sampling schemes," Papers 2011.11281, arXiv.org, revised Aug 2021.
- Anufriev, Mikhail & Bottazzi, Giulio & Marsili, Matteo & Pin, Paolo, 2012.
"Excess covariance and dynamic instability in a multi-asset model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1142-1161.
- Anufriev, M. & Bottazzi, G. & Marsili, M. & Pin, P., 2011. "Excess Covariance and Dynamic Instability in a Multi-Asset Model," CeNDEF Working Papers 11-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Patrick Chang & Roger Bukuru & Tim Gebbie, 2019. "Revisiting the Epps effect using volume time averaging: An exercise in R," Papers 1912.02416, arXiv.org, revised Feb 2020.
- Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020. "Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms," Papers 2003.02842, arXiv.org, revised Nov 2020.
- Henryk Gurgul & Artur Machno, 2017. "The impact of asynchronous trading on Epps effect on Warsaw Stock Exchange," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 25(2), pages 287-301, June.
- Chang, Patrick & Pienaar, Etienne & Gebbie, Tim, 2021. "The Epps effect under alternative sampling schemes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2010-11-13 (Econometric Time Series)
- NEP-MST-2010-11-13 (Market Microstructure)
- NEP-RMG-2010-11-13 (Risk Management)
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