A comparison of high-frequency cross-correlation measures

Physica A: Statistical Mechanics and its Applications

Volumn 344, Issue 1-2, 2004, Pages 252-256

  Precup, Ovidiu V ^a   Iori, Giulia ^a  

^a KING'S COLLEGE LONDON   (United Kingdom)

Author keywords

Covolatility weighting; Fourier method; High frequency correlation

Indexed keywords

COMPUTATIONAL METHODS; FREQUENCY DOMAIN ANALYSIS; INTERPOLATION; STATISTICAL METHODS; TIME SERIES ANALYSIS;

COVOLATILITY WEIGHING; FOURIER METHOD; HIGH FREQUENCY CORRELATION;

CORRELATION METHODS;

EID: 5444275962     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.06.127     Document Type: Conference Paper

References (8)

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