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
收藏
页码：243 / 253
页数：10
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