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Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.; Schäfer, Rudi; Guhr, Thomas - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998
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Portfolio return distributions : sample statistics with stochastic correlations
Chetalova, Desislava; Schmitt, Thilo A.; Schäfer, Rudi; … - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011403228
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Quantile correlations : uncovering temporal dependencies in financial time series
Schmitt, Thilo A.; Schäfer, Rudi; Dette, Holger; Guhr, … - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-16
Persistent link: https://www.econbiz.de/10011403969