Compensating asynchrony effects in the calculation of financial correlations

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 4, 2010, Pages 767-779

  Münnix, Michael C ^a   Schäfer, Rudi ^a   Guhr, Thomas ^a  

^a UNIVERSITY OF DUISBURG ESSEN   (Germany)

Author keywords

Asynchronous time series; Covariance estimation; Epps effect; Financial correlations; Market emergence

Indexed keywords

COMMERCE; TIME SERIES;

ASYNCHRONY; COVARIANCE ESTIMATION; EPPS EFFECT; FINANCIAL CORRELATIONS; FINANCIAL DATA; STATISTICAL EFFECTS; STATISTICAL ERRORS;

FINANCE;

EID: 71349086705     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.10.033     Document Type: Article

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