Search Results - subject:"Epps effect"

Spot beta estimation with asynchronous noisy prices

Mancino, Maria Elvira; Mariotti, Tommaso; Toscano, Giacomo - In: Quantitative finance 25 (2025) 5, pp. 733-755

Persistent link: https://www.econbiz.de/10015534146

Revisiting elastic string models of forward interest rates

Le Coz, Victor; Bouchaud, Jean-Philippe - In: Quantitative finance 24 (2024) 11, pp. 1561-1578

Persistent link: https://www.econbiz.de/10015196945

High-dimensional realized covariance estimation : a parametric approach

Buccheri, G.; Mboussa Anga, G. - In: Quantitative finance 22 (2022) 11, pp. 2093-2107

Persistent link: https://www.econbiz.de/10013490925

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

A closed-form formula characterization of the Epps effect

Buccheri, Giuseppe; Livieri, Giulia; Pirino, Davide; … - In: Quantitative finance 20 (2020) 2, pp. 243-254

Persistent link: https://www.econbiz.de/10012194864

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

The impact of asynchronous trading on Epps effect on Warsaw stock exchange

Gurgul, Henryk; Machno, Artur - In: Central European journal of operations research : CEJOR … 25 (2017) 2, pp. 287-301

Persistent link: https://www.econbiz.de/10011711254

Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance

Herwartz, Helmut; Golosnoy, Vasyl - Institut für Volkswirtschaftslehre, … - 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/10005082855

Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance

Herwartz, Helmut; Golosnoy, Vasyl - 2007

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

Jump robust daily covariance estimation by disentangling variance and correlation components

Boudt, Kris; Cornelissen, Jonathan; Croux, Christophe - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 2993-3005

A jump robust positive semidefinite rank-based estimator for the daily covariance matrix based on high-frequency intraday returns is proposed. It disentangles covariance estimation into variance and correlation components. This allows us to account for non-synchronous trading by estimating...

Persistent link: https://www.econbiz.de/10010617662