The Epps effect revisited
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697680802595668
Reference39 articles.
1. The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior
2. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
3. Stochastic correlation across international stock markets
4. Announcement effects of new equity issues and the use of intraday price data
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