The impact of asynchronous trading on Epps effect on Warsaw stock exchange
Henryk Gurgul, Artur Machno
| Year of publication: |
June 2017
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| Authors: | Gurgul, Henryk ; Machno, Artur |
| Published in: |
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies. - Berlin : Springer, ISSN 1435-246X, ZDB-ID 1178875-6. - Vol. 25.2017, 2, p. 287-301
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| Subject: | Market microstructure | Epps effect | Asynchronous trading | Correlation estimation | Asynchronous time series | Marktmikrostruktur | Börsenkurs | Share price | Schätzung | Estimation | Börsenhandel | Stock exchange trading | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Simulation | Polen | Poland |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10100-016-0442-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011711254