Financial correlations at ultra-high frequency: theoretical models and empirical estimation

被引：0

作者：

I. Mastromatteo

M. Marsili

P. Zoi

机构：

[1] SISSA,

[2] Via Beirut 2-4,undefined

[3] The Abdus Salam International Centre for Theoretical Physics,undefined

[4] Strada Costiera 11,undefined

[5] Risk & Capital Management,undefined

[6] Assicurazioni Generali,undefined

[7] Piazza Duca degli Abruzzi 2,undefined

来源：

The European Physical Journal B | 2011年 / 80卷

关键词：

Multivariate Time Series; Epps; Traded Asset; Financial Correlation; Asynchronous Process;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales – the so-called Epps effect. This provides a characterization of stochastic models of stock price returns which is appropriate at very high frequency.

引用

页码：243 / 253

页数：10

共 50 条

[1] Financial correlations at ultra-high frequency: theoretical models and empirical estimation
Mastromatteo, I.
Marsili, M.
Zoi, P.
[J]. EUROPEAN PHYSICAL JOURNAL B, 2011, 80 (02): : 243 - 253
[2] Quantile estimation in ultra-high frequency financial data: a comparison between parametric and semiparametric approach
Paola Zuccolotto
[J]. Statistical Methods and Applications, 2003, 12 (2) : 243 - 257
[3] Ultra-high frequency
Bauwens, P
[J]. BRITISH MEDICAL JOURNAL, 1936, 1936 : 328 - 330
[4] Financial econometric analysis at ultra-high frequency: Data handling concerns
Brownlees, C. T.
Gallo, G. M.
[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2006, 51 (04) : 2232 - 2245
[5] Bayes estimation via filtering equation through implicit recursive algorithms for financial ultra-high frequency data
Bundick, Brent
Rhee, Noah
Zeng, Yong
[J]. STATISTICS AND ITS INTERFACE, 2013, 6 (04) : 487 - 498
[6] Bayesian semi-parametric estimation of compound inhomogeneous Poisson processes for ultra-high frequency financial transaction data
Hashimoto, Masaru
Lenk, Peter J.
[J]. JOURNAL OF NONPARAMETRIC STATISTICS, 2024,
[7] Variance estimation for sparse ultra-high dimensional varying coefficient models
Wang, Zhaoliang
Xue, Liugen
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2019, 48 (05) : 1270 - 1283
[8] Penalized estimation in finite mixture of ultra-high dimensional regression models
Tang, Shiyi
Zheng, Jiali
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2022, 51 (17) : 5971 - 5992
[9] ULTRA-HIGH FREQUENCY DENATURATION OF PROTEINS
BOYD, GA
[J]. JOURNAL OF CHEMICAL PHYSICS, 1946, 14 (05): : 351 - 352
[10] ULTRA-HIGH FREQUENCY BEAM ANALYZER
BLOOM, LR
VONFOERSTER, HM
[J]. REVIEW OF SCIENTIFIC INSTRUMENTS, 1954, 25 (07): : 649 - 653

← 1 2 3 4 5 →