3 citations · 8 across the 4 of their papers we have counts for
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q-fin.ST2020★ 2 cited
Comparing the market microstructure between two South African exchanges
Ivan Jericevich, Patrick Chang, Tim Gebbie
We consider shared listings on two South African equity exchanges: the Johannesburg Stock Exchange (JSE) and the A2X Exchange. A2X is an alternative exchange that provides for both…
q-fin.ST2020
The Epps effect under alternative sampling schemes
Patrick Chang, Etienne Pienaar, Tim Gebbie
Time and the choice of measurement time scales is fundamental to how we choose to represent information and data in finance. This choice implies both the units and the aggregation…
q-fin.ST2020★ 3 cited
Fourier instantaneous estimators and the Epps effect
Patrick Chang
We compare the Malliavin-Mancino and Cuchiero-Teichmann Fourier instantaneous estimators to investigate the impact of the Epps effect arising from asynchrony in the instantaneous e…