A closed-form formula characterization of the Epps effect
Author:
Affiliation:
1. Scuola Normale Superiore, Piazza dei Cavalieri 7, 56126, Pisa, Italy
2. Dipartimento di Economia e Finanza, Università degli Studi di Roma Tor Vergata, Via Columbia 2, 00173, Roma Italy
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2019.1659992
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1. High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
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