Search Results - subject:"Epps effect"

The impact of asynchronous trading on Epps effect : comparative study on Warsaw Stock Exchange and Vienna Stock Exchange

Gurgul, Henryk; Machno, Artur - In: Managerial economics 17 (2016) 1, pp. 59-75

The novelty/value added of this paper is the comparison of the Epps effect between developed and emerging stock markets … whether or not asynchrony in transaction times is a considerable source of the Epps effect in the case of the Warsaw and … turns out to be the main cause of the Epps effect. However, the corrected correlation estimator seems to be more volatile …

Persistent link: https://www.econbiz.de/10011736401

Estimating the Leverage Effect Using High Frequency Data

Russi, Guido - In: Review of Economics & Finance 2 (2012) February, pp. 1-24

Correlation ¨C is derived. This new measure avoids the so-called Epps effect and permits to observe a level of Realized …

Persistent link: https://www.econbiz.de/10010686080

Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance

Herwartz, Helmut; Golosnoy, Vasyl - 2007

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

Persistent link: https://www.econbiz.de/10010296287

Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance

Herwartz, Helmut; Golosnoy, Vasyl - Institut für Volkswirtschaftslehre, … - 2007

Persistent link: https://www.econbiz.de/10005082855