Precup, Ovidiu V.; Iori, Giulia - In: The European Journal of Finance 13 (2007) 4, pp. 319-331
On a high-frequency scale the time series are not homogeneous, therefore standard correlation measures cannot be directly applied to the raw data. To deal with this problem the time series have to be either homogenized through interpolation, or methods that can handle raw non-synchronous time...