Search Results - subject:"epps"

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High-dimensional realized covariance estimation : a parametric approach

Buccheri, G.; Mboussa Anga, G. - In: Quantitative finance 22 (2022) 11, pp. 2093-2107

Persistent link: https://www.econbiz.de/10013490925

A closed-form formula characterization of the Epps effect

Buccheri, Giuseppe; Livieri, Giulia; Pirino, Davide; … - In: Quantitative finance 20 (2020) 2, pp. 243-254

Persistent link: https://www.econbiz.de/10012194864

The impact of asynchronous trading on Epps effect : comparative study on Warsaw Stock Exchange and Vienna Stock Exchange

Gurgul, Henryk; Machno, Artur - In: Managerial economics 17 (2016) 1, pp. 59-75

The novelty/value added of this paper is the comparison of the Epps effect between developed and emerging stock markets … whether or not asynchrony in transaction times is a considerable source of the Epps effect in the case of the Warsaw and … turns out to be the main cause of the Epps effect. However, the corrected correlation estimator seems to be more volatile …

Persistent link: https://www.econbiz.de/10011736401

Who pays more in the international market? : an examination of terms of trade of the countries of Latin America and the Caribbean

Oyewole, Philemon - In: International journal of export marketing 2 (2018) 2, pp. 90-103

Persistent link: https://www.econbiz.de/10012040542

Who pays more in the international market? : an examination of terms of trade of the counties of Latin America and the Caribbean

Oyewole, Philemon - In: International journal of export marketing 2 (2018) 2, pp. 90-103

Persistent link: https://www.econbiz.de/10012041620

Estimating the Leverage Effect Using High Frequency Data

Russi, Guido - In: Review of Economics & Finance 2 (2012) February, pp. 1-24

Correlation ¨C is derived. This new measure avoids the so-called Epps effect and permits to observe a level of Realized …

Persistent link: https://www.econbiz.de/10010686080

The impact of asynchronous trading on Epps effect on Warsaw stock exchange

Gurgul, Henryk; Machno, Artur - In: Central European journal of operations research : CEJOR … 25 (2017) 2, pp. 287-301

Persistent link: https://www.econbiz.de/10011711254

Impact evaluation of national export promotion programs on export firms using contract groups

Geldres-Weiss, Valeska V.; Carrasco-Roa, Javier A. - In: International journal of export marketing 1 (2016) 1, pp. 77-95

Persistent link: https://www.econbiz.de/10011562379

Nonparametric testing of distributions—the Epps–Singleton two-sample test using the empirical characteristic function

Goerg, Sebastian J.; Kaiser, Johannes - In: Stata Journal 9 (2009) 3, pp. 454-465

that might be applied in similar occasions. In this article, we describe a two-sample omnibus test introduced by Epps and … of the Epps–Singleton characteristic function test is illustrated in two examples. We compare the two tests and …

Persistent link: https://www.econbiz.de/10008566201

Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance

Herwartz, Helmut; Golosnoy, Vasyl - 2007

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

Persistent link: https://www.econbiz.de/10010296287