Statistical causes for the Epps effect in microstructure noise
Michael C. Münnix, Rudi Schäfer and Thomas Guhr
| 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 | Korrelation | Correlation | Börsenkurs | Share price | Schätztheorie | Estimation theory | Schätzung | Estimation | Wechselkurs | Exchange rate | Deutschland | Germany | Volatilität | Volatility | Simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009541998