The impact of asynchronous trading on Epps effect on Warsaw Stock Exchange
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research
Link
http://link.springer.com/content/pdf/10.1007/s10100-016-0442-y.pdf
Reference14 articles.
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2. Andersen T, Bollerslev T, Diebold F, Ebens H (2001b) The distribution of realized stock volatility. J Financ Econ 61:43–76
3. Bonanno G, Lillo F, Mantegna RN (2001) High-frequency cross-correlation in a set of stocks. Quant Finance 1:96–104
4. Burns P, Engle R, Mezrich J (1998) Correlations and volatilities of asynchronous data. J Deriv 5:7–18
5. Conlon T, Ruskin HJ, Crane M (2009) Multiscaled cross-correlation dynamics in financial time-series. Phys A 388(5):705–714
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