Statistical causes for the Epps effect in microstructure noise
Year of publication: |
2011
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Authors: | Münnix, Michael C. ; Schäfer, Rudi ; Guhr, Thomas |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 8, p. 1231-1246
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Subject: | Market microstructure | Epps effect | nonsynchronous trading | correlation estimation | covariance estimation | realized variance | Marktmikrostruktur | Varianzanalyse | Analysis of variance | Schätzung | Estimation | Schätztheorie | Estimation theory | Börsenkurs | Share price | Korrelation | Correlation | Deutschland | Germany | Japan | Wechselkurs | Exchange rate | Noise Trading | Noise trading | Volatilität | Volatility | Simulation |
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