搜索结果: 1-2 共查到“经济学 Financial correlations”相关记录2条 . 查询时间(0.125 秒)
Compensating asynchrony effects in the calculation of financial correlations
Financial correlations Epps effect Market emergence Covariance estimation Asynchronous time series
2010/11/2
We present a method to compensate statistical errors in the calculation of correlations on asynchronous time series.The method is based on the assumption of an underlying time series. We set up a mode...
Financial correlations at ultra-high frequency: theoretical models and empirical estimation
Financial ultra-high frequency
2010/12/13
A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales - th...