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A closed-form formula characterization of the Epps effect - MaRDI portal

A closed-form formula characterization of the Epps effect (Q5121493)

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scientific article; zbMATH DE number 7246978
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English
A closed-form formula characterization of the Epps effect
scientific article; zbMATH DE number 7246978

    Statements

    title
    A closed-form formula characterization of the Epps effect (English)
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    author
    Giuseppe Buccheri
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    Giulia Livieri
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    Davide Pirino
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    Alessandro Pollastri
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    publication date
    14 September 2020
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    zbMATH Keywords
    Epps effect
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    realized covariance
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    infill asymptotic
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    liquidity
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    Identifiers

    zbMATH DE Number
    7246978
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    OpenAlex ID
    W2983627691
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    Wikidata QID
    Q126854677
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